Similar Search Results

Financial modeling and option theory with the truncated Lévy process

Matacz, Andrew - Science & Finance - 1997

In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow...

Persistent link: https://www.econbiz.de/10005129575

Explaining the forward interest rate term structure

Matacz, Andrew; Bouchaud, Jean-Philippe - Science & Finance - 1999

We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation...

Persistent link: https://www.econbiz.de/10005695656

An empirical investigation of the forward interest rate term structure

Matacz, Andrew; Bouchaud, Jean-Philippe - Science & Finance - 1999

In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate Curve. In particular, the average FRC follows a square-root law, with a prefactor related to the spot volatility,...

Persistent link: https://www.econbiz.de/10005695658

Path dependent option pricing: the path integral partial averaging method

Matacz, Andrew - Science & Finance - 2000

In this paper I develop a new computational method for pricing path dependent options. Using the path integral … evaluation. For short-medium term options it leads to a general approximation formula that only requires the evaluation of a one … dimensional integral. I illustrate the application of the method to Asian options and occupation time derivatives. …

Persistent link: https://www.econbiz.de/10005695661