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Hedging in affine stochastic volatility models
Richard Vierthauer - 2010
Typically an investor incurs risk by issuing a contingent claim. She can try to reduce this risk by trading in the underlying asset according to a strategy which is in some sense appropriate. In an incomplete financial market there usually are several meaningful choices for the determination of...
Persistent link: https://www.econbiz.de/10009429018
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Monte-Carlo Simulation und Fuzzyfizierung qualitativer Informationen bei der Unternehmensbewertung
Klein, Martin - 2011
, creating a stochastic model using Monte Carlo Simulation demands a software package. The third article provides an overview and … illustration of how computer based Monte Carlo simulation can enrich the valuation process. Therefore, the four major software … abilities to create distributions, resource available for learning the software, and analytical capabilities. …
Persistent link: https://www.econbiz.de/10009451171
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Algorithmic Trading : Analyse von computergesteuerten Prozessen im Wertpapierhandel unter Verwendung der Multifaktorenregression
Gomolka, Johannes - 2011
Die Elektronisierung der Finanzmärkte ist in den letzten Jahren weit vorangeschritten. Praktisch jede Börse verfügt über ein elektronisches Handelssystem. In diesem Kontext beschreibt der Begriff Algorithmic Trading ein Phänomen, bei dem Computerprogramme den Menschen im Wertpapierhandel...
Persistent link: https://www.econbiz.de/10009449077
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Stochastic volatility : maximum likelihood estimation and specification testing
White, Scott Ian - 2006
Stochastic volatility (SV) models provide a means of tracking and forecasting the variance of financial asset returns. While SV models have a number of theoretical advantages over competing variance modelling procedures they are notoriously difficult to estimate. The distinguishing feature of...
Persistent link: https://www.econbiz.de/10009437989
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Static Hedging of Standard Options
CARR, PETER; WU, LIUREN - 2002
We consider the hedging of derivative securities when the price movement of the underlying asset can exhibit random jumps. Under a one factor Markovian setting, we derive a spanning relation between a long term option and a continuum of short term options. We then apply this spanning relation to...
Persistent link: https://www.econbiz.de/10009440737
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Local scale models: state space alternative to integrated GARCH processes
Shephard, Neil - 1994
State space alternative to autoregressive conditional heteroskedasticity models are proposed. The initial model, which is labelled the Gaussian local scale model, has a measurement density which is Gaussian, conditional on the unobservable precision. The precision is assumed to be a gamma...
Persistent link: https://www.econbiz.de/10009441423
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Markov chain Monte Carlo methods for stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - 2002
This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations and a jump component in the observation...
Persistent link: https://www.econbiz.de/10009441450
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Likelihood analysis of a first order autoregressive model with exponential innovations
Nielsen, Bent; Shephard, Neil - 2003
This paper derives the exact distribution of the maximum likelihood estimator of a first-order linear autoregression with an exponential disturbance term. We also show that, even if the process is stationary, the estimator is T-consistent, where T is the sample size. In the unit root case, the...
Persistent link: https://www.econbiz.de/10009441481
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Power variation and stochastic volatility: a review and some new results
Barndorff-Nielsen, Ole E.; Graversen, Svend-Erik; … - 2004
In this paper we review some recent work on limit results on realised power variation, that is, sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in...
Persistent link: https://www.econbiz.de/10009441482