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Smiling under stochastic volatility
Rubio Irigoyen, Gonzalo; León, Angel - Departamento de Fundamentos del Análisis Económico … - 2002
extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which … volatility model for a given degree of moneyness are given. …
Persistent link: https://www.econbiz.de/10004972704
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Constrained general regression in pseudo-Sobolev spaces with application to option pricing
Hlávka, Zdeněk; Peésta, Michal - 2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10010274279
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Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
Hlávka, Zdeněk; Pešta, Michal - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...
Persistent link: https://www.econbiz.de/10005854964
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Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing
KËLLEZI, Evis; PAULETTO, Giorgio - Swiss Finance Institute - 2001
This paper investigates computational and implementation issues for the valuation of options on three underlying assets …
Persistent link: https://www.econbiz.de/10005612061
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Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
Hlavka, Zdenek; Pesta, Michal - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10005652754
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Constrained general regression in pseudo-Sobolev spaces with application to option pricing
Hlávka, Zdeněk (contributor); Pešta, Michal (contributor) - 2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10003376011
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Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2007
Correlation matrices have many applications, particularly in marketing and financial economics. The need to forecast demand for a group of products in order to realize savings by properly managing inventories requires the use of correlation matrices. In many cases, due to paucity of...
Persistent link: https://www.econbiz.de/10005837492
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Accessing Financial Data for Regulation A Form 1-A Filings in EDGAR Using Python
Krause, David - 2023
This article explores the automation of accessing and analyzing financial data from Regulation A Form 1-A filings in the U.S. Securities and Exchange Commission's Electronic Data Gathering, Analysis, and Retrieval (EDGAR) database using Python. These filings provide a streamlined pathway for...
Persistent link: https://www.econbiz.de/10014350392
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Feel the Market : An Attempt to Identify Additional Factor in the Capital Asset Pricing Model (CAPM) Using Generative Pre-Trained Transformer (GPT) and Bidirectional Encoder Repres...
Zhang, Christopher L. - 2023
In the past year, generative AI, led by Chat GPT by Open AI and Bard, a language experiment by Google, generated tremendous attention amongst the public. Their impact on finance, law and general productivity are difficulty to articulate with words. This paper aims to strengthen the...
Persistent link: https://www.econbiz.de/10014352641
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Embracing Change : Financial Informatics and Risk Analytics
Flood, Mark D. - 2016
We present an enterprise design pattern for managing metadata in support of financial analytics packages. The complexity of financial modeling typically requires deployment of multiple financial analytics packages, drawing data from multiple source systems. Business domain experts are typically...
Persistent link: https://www.econbiz.de/10012707167