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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

Credit Modelling Under Jump Diffusions with Exponentially Distributed Jumps - Stable Calibration, Dynamics and Gap Risk

Kassberger, Stefan - 2015

This paper introduces a structural credit default model that is based on a hyper-exponential jump diffusion process for the value of the firm. For credit default swap prices and other quantities of interest, explicit expressions for the corresponding Laplace transforms are derived. As an...

Persistent link: https://www.econbiz.de/10013038582

Option Pricing Under Time-Varying Risk-Aversion with Applications to Risk Forecasting

Kiesel, Rüdiger - 2015

We present a new option-pricing model, which explicitly captures the difference in the persistence of volatility under … Stochastic Volatility models have the best forecasting performance …

Persistent link: https://www.econbiz.de/10013014461

Monte-Carlo Valuation of Options Under Uncertain Volatility : A Local Quadratic Kernel Regression-Based Method

Gocsei, Arnaud - 2012

We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain volatility model …

Persistent link: https://www.econbiz.de/10013101251

On the Bayesian risk evaluation of minimum guarantees in variable annuities

Byoung Hark Yoo; Ko, Bangwon; Kwon, Hyuk-Sung - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 21-43

Persistent link: https://www.econbiz.de/10011410497

Volatility Smile and Risk Neutral Density for FX Options : An Example for the USDMXN

Murra, Luis - 2017

This paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market …

Persistent link: https://www.econbiz.de/10012967622

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

A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities

Casarin, Roberto - 2015

We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...

Persistent link: https://www.econbiz.de/10013031557

Risk Adjustments of Option Prices under Time-changed Dynamics

Nicolato, Elisa - 2014

such as the Variance Gamma and the Normal Inverse Gaussian models as well as their stochastic volatility counterparts, e …

Persistent link: https://www.econbiz.de/10013064395

Risk-adjusted option-implied moments

Brinkmann, Felix; Korn, Olaf - 2014

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return …

Persistent link: https://www.econbiz.de/10010399367