Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

probability, while probabilities are derived from an estimated stochastic volatility model of the form GARCH components with … one-day ahead forecast of derivative price distributions and minimum variance hedge ratios. Empirical results suggest that …

impose tight upper and lower bounds on the implied volatility …

to compute more complicated derivative securities …

theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more …-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform …

We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative … securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility … not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility …

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks …