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Diversification and the Distribution of Portfolio Variance, Part 2 : Volatility Stability as a Measure of Diversification
Fleming, Brian - 2020
We introduce a new framework for understanding portfolio diversification that provides a coherent basis for comparing methodologies and offers a new approach to portfolio construction. The primary argument is that measures of diversification based only on a covariance matrix are ambiguous...
Persistent link: https://www.econbiz.de/10012828842
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the...
Persistent link: https://www.econbiz.de/10013013057
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Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies”, “Complete Analytical Solution … paper we report unique analytical results for pricing American Style Options in the presence of both constant and stochastic … volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options …
Persistent link: https://www.econbiz.de/10013029750
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Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options -- True Value-at-Risk and Option Based Hedging Strategies" and "Complete Analytical …://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … (Heston model), enabling complete analytical resolution of all problems associated with options considered within the Heston …
Persistent link: https://www.econbiz.de/10013030477
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Complete Analytical Solution of the Asian Option Pricing and Asian Option Value-at-Risk Problems : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies” (see link 'http …://ssrn.com/abstract=2489601' http://ssrn.com/abstract=2489601).•In this paper we report similar unique results for Asian Options, enabling … complete analytical resolution of all problems associated with Asian Options. •Our discovery of the Asian Option probability …
Persistent link: https://www.econbiz.de/10013030852
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Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedgi...
Izmailov, Alexander - 2015
these analytics in studying vanilla options.• Confirmation of analytical results is presented in the form of Monte Carlo …
Persistent link: https://www.econbiz.de/10013032725
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Accurate & Efficient Pricing of Arithmetic Average Asian Options within the Hull-White Method
Ramprasad, Pratik - 2015
Persistent link: https://www.econbiz.de/10013020217
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A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies” and “Complete Analytical …://ssrn.com/abstract=2546430.The first ever explicit formulation of the concept of the options' probability density functions within the framework … paper we report complete analytical closed-form results for the European style Asian Options considered within the Heston …
Persistent link: https://www.econbiz.de/10013022328
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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13
The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...
Persistent link: https://www.econbiz.de/10012422545