MoneyScience News |
- Published / Preprint: Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models. (arXiv:1403.5302v1 [q-fin.PR])
- Published / Preprint: Multilevel Monte Carlo For Exponential L\'{e}vy Models. (arXiv:1403.5309v1 [q-fin.CP])
- Published / Preprint: Time-changed CIR default intensities with two-sided mean-reverting jumps. (arXiv:1403.5402v1 [q-fin.PR])
- Blog Post: TheAlephBlog: Classic: Ways to Cut Risk
- Blog Post: TheFinancialServicesClub: The Finanser's Week: 17th March - 23rd March 2014
| Posted: 23 Mar 2014 05:39 PM PDT In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions, and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-diffusion models and stochastic volatility models with jumps. We apply our general results to... Visit MoneyScience for the Complete Article.      |
| Posted: 23 Mar 2014 05:39 PM PDT We apply multilevel Monte Carlo for option pricing problems using exponential L\'{e}vy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate the computational efficiency of this approach. We derive estimates of the convergence rate for the error introduced by the discrete monitoring of the... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Mar 2014 05:39 PM PDT The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-variate process $(X,D)$ of a diffusion state variable $X$ driving default intensity and a default indicator process $D$ and time change it with a L\'{e}vy subordinator ${\mathcal{T}}$. We characterize the... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Classic: Ways to Cut Risk Posted: 23 Mar 2014 03:28 PM PDT This was published in late 2007 at RealMoney. Â I don’t know exactly when.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The Finanser's Week: 17th March - 23rd March 2014 Posted: 23 Mar 2014 08:59 AM PDT Our biggest stories of the past week are ...read more... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |