Showing 1 - 10 of 29
In this paper we study the asymptotic behaviour of power and multipower variations of stochastic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a fluid in a turbulence regime with spot intermittency sigma. The purpose of the present...
Persistent link: https://www.econbiz.de/10004991540
In this paper we study the asymptotic behaviour of power and multipower variations of stochatstic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a uid in a turbulence regime with spot intermittency sigma. The purpose of the present...
Persistent link: https://www.econbiz.de/10013159426
Persistent link: https://www.econbiz.de/10013029222
We introduce skewed Lévy models, that have a symmetric jump measure multiplied by dumping exponential factor, in order to study the implied volatility smirk in Lévy markets. The dumping factor depends on a parameter beta, this results in a measure of the skewness of the model. We show that...
Persistent link: https://www.econbiz.de/10013031076
In this paper we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral distribution of the underlying Lévy process. As an application we show how to price a barrier style contract
Persistent link: https://www.econbiz.de/10012990668
Persistent link: https://www.econbiz.de/10001862172
In this work we introduce the notion of implied Core Equity Tier 1 volatility and the concept of a risk-adjusted distance to trigger. Using a derivatives-based valuation approach, we are able to derive the implied CET1 volatility from the market price of a CoCo bond in a Black-Scholes setting....
Persistent link: https://www.econbiz.de/10013026772
In this paper we discuss the pricing of Constant Maturity Credit Default Swaps (CMCDS) under single sided jump models. The CMCDS offers default protection in exchange for a floating premium which is periodically reset and indexed to the market spread on a CDS with constant maturity tenor written...
Persistent link: https://www.econbiz.de/10013141953
This paper features a market implied methodology to infer adequate starting values for the spot and long run variances and for the mean reversion rate of a calibration exercise under the Heston model. More particularly, these initial parameters are obtained by matching the term structure of the...
Persistent link: https://www.econbiz.de/10013082948
In this paper we introduce a new technology for the pricing of European options for a wide class of models. The method is based on a quantization technique that exploits the knowledge of the characteristic function for the price process in closed form, and is quick and accurate enough to...
Persistent link: https://www.econbiz.de/10012893828