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Lo, Andrew W. - 2007

This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of...

Persistent link: https://www.econbiz.de/10012776824

Smart Derivative Contracts (Presentation Slides of the 14th Quant Finance Conference)

Fries, Christian P. - 2018

This presentation motivates the concept of smart derivative contracts. Inspired by smart contracts from distributed ledger technology, we define a derivative contract with an automatic termination feature

Persistent link: https://www.econbiz.de/10012909915

Smart Derivative Contracts (Detaching Transactions from Counterparty Credit Risk : Specification, Parametrisation, Valuation)

Fries, Christian P. - 2019

In this note we describe a smart derivative contract with a fully deterministic termination to remove many of the inefficiencies in collateralized OTC transactions. The automatic termination procedure embedded in the smart contracts replaces the counterparty default by an option right of the...

Persistent link: https://www.econbiz.de/10012899557

Pricing of Adverse Development Cover Using Option Pricing Methods

Dal Moro, Eric - 2020

The market for Adverse Development Cover and Loss Portfolio Transfer has been growing in the past few years. Despite this growth, reinsurers are still struggling to define a standard method for pricing such covers. In this context, this article aims at providing an innovative method for pricing...

Persistent link: https://www.econbiz.de/10012823720

Non-Life Insurance : Mathematics & Statistics

Wuthrich, Mario V. - 2020

The present manuscript provides a basis in non-life insurance mathematics and statistics which form a core subject of actuarial science. It discusses collective risk modeling, individual claim size modeling, approximations for compound distributions, ruin theory, premium calculation principles,...

Persistent link: https://www.econbiz.de/10012856950

Hedging the Art Market : Creating Art Derivatives

Ralevski, Olivia - 2020

A number of inefficiencies in the art market stress the fact that art remains a highly risky investment. The art market is characterized by high illiquidity, inefficient market information, high transaction costs, long transaction time and the absence of a hedging mechanism. Therefore, unlike...

Persistent link: https://www.econbiz.de/10012705786

A New Method of Employing the Principle of Maximum Entropy to Retrieve the Risk Neutral Density

Rompolis, Leonidas - 2017

of future stock, or any other asset, returns from European call and put prices. Instead of options prices used by …

Persistent link: https://www.econbiz.de/10012706660

Dynamically Controlled Kernel Estimation

Kienitz, Joerg; Nowaczyk, Nikolai; Geng, Nancy(Qingxin) - 2021

We introduce a data driven and model free approach for computing conditional expectations. The new method is based on classical techniques combined with machine learning methods. In particular, we consider kernel density estimation based on simulated risk factors combined with a control variate....

Persistent link: https://www.econbiz.de/10013231705

From Skews to a Skewed-T

de Jong, Cyriel - 2012

-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters … to compare different distributions and use the parameters as inputs to price other options. We explain the method …

Persistent link: https://www.econbiz.de/10012755875

Geographical Diversification with a World Volatility Index

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2015

This paper proposes a new ‘World Volatility Index’, coined WVIX, by constructing the first index that approximates the aggregate volatility level of the G20 countries. The empirical analysis makes use of the factor dynamic conditional correlation model – with an automated methodology to...

Persistent link: https://www.econbiz.de/10011212043