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Time-Varying Uncertainty and Jump Intensities : Why Should Variance Jumps Be Different?

Kraftschik, Alexander - 2017

uncertainty of the underlying. Transferring this intuition to volatility jumps requires that in affine models the variance jump …

Persistent link: https://www.econbiz.de/10012957054

Option Prices in a Model with Stochastic Disaster Risk

Seo, Sang Byung - 2020

volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the … mean and volatility of equity returns. Our model assumes a small risk of economic disaster that is calibrated based on … to the model's ability both to match equity volatility and to reconcile option prices with macroeconomic data on disaster …

Persistent link: https://www.econbiz.de/10012856361

Modelling Dynamic Portfolio Risk Using Risk Drivers of Elliptical Processes

Schmidt, Rafael - 2016

-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …

Persistent link: https://www.econbiz.de/10012989295

Intra-horizon expected shortfall and risk structure in models with jumps

Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...

Persistent link: https://www.econbiz.de/10012179511

Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773

Uncertainty and stochastic theories on European options valuation and their delta and vega risks

Grajales, Carlos Alexander; Medina Hurtado, Santiago; … - 2022

Uncertainty finance presents alternative models for derivative valuation relevant to markets willing to consider subjective information or expert criterium in their operation. This paper proposes a methodology based on experimental data for comparing the prices and the delta and vega risks for...

Persistent link: https://www.econbiz.de/10013309480