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An Equilibrium Model for Commodity Prices with Regime Switching Reserve Dynamics

Larsson, Karl - 2014

We explore the implications for asset prices and implied volatilities in an equilibrium model of commodity production. Production of the commodity can be carried out in one of two regimes. In the first regime the reserves are set in constant decline while in the second regime new additions to...

Persistent link: https://www.econbiz.de/10013061596

Particle Filters for Markov Switching Stochastic Volatility Models

Yun, Bao; Chiarella, Carl; Kang, Boda - 2012

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …-based algorithm is presented for the method which demonstrated that we are able to estimate a class of models in which the probability …

Persistent link: https://www.econbiz.de/10014164616

Effect of Volatility Fluctuations on Optimal Execution Schedules

Criscuolo, Adriana - 2019

fair pricing theory of market impact and the Heston model for volatility. We use computer optimization to solve common …

Persistent link: https://www.econbiz.de/10012904961

Solving penalised American options for jump diffusions using the POST algorithm

Hessing, Jean-Claude; Lange, Rutger‐Jan; Ralph, Daniel - 2022

function space to establish that the POST algorithm either (i) finds the solution or (ii) demonstrates that no solution exists … (LCPs). We use the POST algorithm to value American options and compute early-exercise boundaries for Kou’s jump …

Persistent link: https://www.econbiz.de/10013296657

Applied Stochastic Control in High Frequency and Algorithmic Trading

Ricci, Jason - 2014

of time, optimal high frequency trading strategies are derived via stochastic control theory and solving the … numerical procedures, where appropriate. The bridge from abstract mathematical theory to practical real-time implementation is …

Persistent link: https://www.econbiz.de/10013046433

Algorithmic Approach to Delta-Hedging : Researching Realized FX Volatility at Micro Level

Sorokin, Valery - 2017

I present substantially extended back-testing results of the algorithmic approach to delta-hedging described in my earlier paper. Along with previously researched EURUSD straddles I research USDJPY and GBPUSD straddles as well as call and put spread option combinations. Back-tested period is...

Persistent link: https://www.econbiz.de/10012949449

Dynamic discrete mixtures for high-frequency prices

Catania, Leopoldo; Di Mari, Roberto; Santucci de … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 559-577

Persistent link: https://www.econbiz.de/10013533453

Joint independent metropolis-hastings methods for nonlinear non-Gaussian state space models

Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2013

Persistent link: https://www.econbiz.de/10010191411

SV mixture : classification using EM algorithm

Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - 2013

with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …

Persistent link: https://www.econbiz.de/10009755511

Bayesian estimation of non-Gaussian stochastic volatility models

Elabed, Asma Graja; Masmoudi, Afif - In: Journal of mathematical finance 4 (2014) 2, pp. 95-103

Persistent link: https://www.econbiz.de/10010380909