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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process
Wehrli, Alexander; Sornette, Didier - 2021
Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices fluctuate more than fundamentally justified....
Persistent link: https://www.econbiz.de/10012518955
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020
The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...
Persistent link: https://www.econbiz.de/10012219363
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018
The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...
Persistent link: https://www.econbiz.de/10011900335
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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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Solving Norm Constrained Portfolio Optimization via Coordinate-Wise Descent Algorithms
Yen, Yu-Min; Yen, Tso-Jung - 2019
A fast method based on coordinate-wise descent algorithms is developed to solve portfolio optimization problems in which asset weights are constrained by Lq norms for 1=q=2. The method is first applied to solve a minimum variance portfolio (mvp) optimization problem in which asset weights are...
Persistent link: https://www.econbiz.de/10014195343
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Assessment of Accuracy of Finite Difference Methods in Evaluation of Options within Heston Model
Cai, Chencheng - 2015
) discovered by Market Memory Trading L.L.C. (“MMT”) for the probability density function of the European style options with … approximate nature of various numerical methods used for evaluation of these options. Our goal is to investigate the accuracy of … options with stochastic volatility. Exact results for option prices for wide ranges of parameters of the underlying return and …
Persistent link: https://www.econbiz.de/10013019454
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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