Narrow search
Showing 1 - 10 of 1,695
Cover Image
Stock picking via nonsymmetrically pruned binary decision trees
Andriyashin, Anton V. (contributor) - 2008
Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...
Persistent link: https://www.econbiz.de/10003727376
Cover Image
Systemic risk contributions : a credit portfolio approach
Düllmann, Klaus; Puzanova, Natalia - 2011
We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...
Persistent link: https://www.econbiz.de/10009011220
Cover Image
Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile
Dubrana, Ludovic - 2011
An enhanced option pricing framework that makes use of both continuous and discontinuous time paths based on a geometric Brownian motion and Poisson-driven jump processes respectively is performed in order to better fit with real-observed stock price paths while maintaining the analytical...
Persistent link: https://www.econbiz.de/10013118115
Cover Image
Implied Volatility Surface : Construction Methodologies and Characteristics
Homescu, Cristian - 2011
The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful construction of IVS in practice: arbitrage-free conditions in both...
Persistent link: https://www.econbiz.de/10013122634
Cover Image
Financial Markets Portfolio Revaluation System
Macey-Dare, Rupert - 2012
/L sensitivity analysis, BPV and interest rate risk, portfolio VaR and market risk scenarios; ISDA collateral revaluation and …
Persistent link: https://www.econbiz.de/10013098037
Cover Image
Discrete-Time Portfolio Optimization with Transaction Costs
Tao, Feiran - 2013
Persistent link: https://www.econbiz.de/10013082018
Cover Image
Monte Carlo Pricing with Local Volatility Grids
Abasto, Damian - 2013
Local volatility models are widely used to manage many exotic options in a way consistent with available market prices of vanilla options. Once calibrated, a local volatility grid can be used in numerical methods such as PDE or Monte Carlo to price and hedge exotic options consistently with...
Persistent link: https://www.econbiz.de/10013083196
Cover Image
Bilateral Counterparty Risk Valuation for Interest-Rate Products : Impact of Volatilities and Correlations
Brigo, Damiano - 2010
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In doing so, we summarize the general arbitrage-free valuation framework for counterparty risk adjustments in presence of...
Persistent link: https://www.econbiz.de/10013150257
Cover Image
Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors
Fuh, Cheng-der - 2009
The probabilities considered in value-at-risk (VaR) are typically of moderate deviations. However, the variance … reduction techniques developed in the literature for VaR computation are based on large deviations methods. Modeling heavy …-tailed risk factors using multivariate $t$ distributions, we develop a new moderate-deviations method for VaR computation. We show …
Persistent link: https://www.econbiz.de/10013156820
Cover Image
Machine Learning SABR Model of Stochastic Volatility With Lookup Table
Lokvancic, Mahir - 2020
We present an embarrassingly simple method for supervised learning of SABR model's European option price function based on lookup table or rote machine learning. Performance in time domain is comparable to generally used analytic approximations utilized in financial industry. However, unlike the...
Persistent link: https://www.econbiz.de/10012835457