Mean Reverting
Stein-rules and Testing in Generalized Mean Reverting Processes with Multiple Change-points
... Stein-rules and Testing in Generalized Mean Reverting Processes Stein-rules and Testing in Generalized Mean Reverting Processes with Multiple Change-points.. with Multiple Change-point[r] ...
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An exchange rate target zone model with a terminal condition and mean reverting fundamentals
... and mean reverting ...with mean reverting fundamentals allow for slightly wider bands for fundamental than model with regulated Brownian motion ...
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Is the Exchange Rate of Bangladesh Mean Reverting? A Panel Unit Root Approach
... is mean reverting while the H-LM test does not support ...is mean reverting and deviation of domestic and foreign price indices are reflected in nominal exchange rate ...
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Convergence of Monte Carlo simulations involving the mean-reverting square root process
... The mean-reverting square root process is a stochastic differential equa- tion (SDE) that has found considerable use as a model for volatility, interest rate, and other financial ...the ...
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Are real exchange rates mean reverting? Evidence from a panel of OECD countries
... Considering such issues of estimation process and in line with the developments in the statistical tests, contemporaneous panel unit root framework proposed by e.g. Maddala and Wu (MW) (1999), Choi (2001), Levin et al. ...
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Mean Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates
... S = α µ − + σ (III-21) This kind of processes is very popular in econometrics since, for example, forward prices as well as interest rates appear over time to be pulled back to some long average level. This phenomenon is ...
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The viscosity solutions approach to swing options pricing under a regime switching mean reverting model
... In this paper, we study the valuation of swing options on electricity markets with local volume and refraction time constraints, under the setting that the dynamic of the underlying spot price is a 2-state ...
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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
... of mean-reversion in Indian stock returns across indices has important theoretical, practical and policy ...observed mean-reverting tendency indicate possibility of prediction of stock returns based ...
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Double Barrier Hitting Time Distribution of a Mean-reverting Lognormal Process and Its Application to Pricing Exotic Options
... various mean-reverting financial variables (Hui and Lo 2006; Sorensen 1997); for instance, we can apply the results to value some exotic options whose payoffs are contingent upon barrier hitting ...
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The Existence and Uniqueness of Solutions for Mean Reverting γ Process
... Empirical studies show that more and more short-term rate models in cap- turing the dynamics cannot be described by those classic ones. So the mean-reverting γ-process was correspondingly proposed. In most ...
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A New Recombination Tree Algorithm for Mean Reverting Interest Rate Dynamics
... In light of the fact that no existing tree algorithms can guarantee the recombination property for general Ornstein- Uhlenbeck processes with time-dependent parameters, a new trinomial recombination-tree algorithm is ...
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Approximation for Convenience Yield with Mean Reverting Commodity Price
... with mean-reverting price dynamics are presented in Table 3 and Table ...using mean reverting prices are larger than the estimates using Asian op- ...
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Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps
... decoupled mean-reverting diffusive and jump components with distinct reversion scales, for the two largest in size dry bulk carriers, ...two-regime mean-reversion, which market practitioners seem to ...
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A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
... Empirical studies show that the most successful continuous-time models of the short- term rate in capturing the dynamics are those that allow the volatility of interest changes to be highly sensitive to the level of the ...
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Pricing in electricity markets: a mean reverting jump diffusion model with seasonality
... is the time dependent mean reverting level which depends on the seasonality function. Regarding the expectation, we must calculate it under an equivalent Q-martingale measure. In a complete market this ...
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Index volatility is mean-reverting It is negatively correlated with the price A jump in price often entails a volatility jump
... Columbia2000 pdf 1 Andrew Matytsin New York, 29 January 2000 (212) 648 0820 Perturbative Analysis of Volatility Smiles 2 This report represents only the personal opinions of the author and not those o[.] ...
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Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
... base mean-reverting regime) is calibrated in Section 5 to a sample series of deseasonalized wholesale electricity spot prices from the German EEX ...
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Quantitative Techniques for Spread Trading in Commodity Markets
... 4.1. Introduction 65 simply two stocks with similar characteristics (for instance in the same market sector) that are out of their historical equilibrium level or long-run mean. The portfolio involves a long ...
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Recent Developments in Option Pricing
... a mean reverting process with stochastic volatility and jumps by finding a closed form of expression for a conditional characteristic function of the log asset process and then apply the FFT method to ...
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Economic hysteresis effects and hitting time densities for CIR diffusions
... It is interesting to compare both cases with the most basic perpetuity that we can use in finance, the case where we have a zero volatility level. In this case the perpetuity function is just F (r) = 1/r. Figures 1 and 2 ...
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