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- Published / Preprint: Hawkes Processes. (arXiv:1507.02822v1 [math.PR])
- Published / Preprint: Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model. (arXiv:1507.02847v1 [q-fin.CP])
- Published / Preprint: Radner equilibrium in incomplete Levy models. (arXiv:1507.02974v1 [q-fin.MF])
- Published / Preprint: Hybrid scheme for Brownian semistationary processes. (arXiv:1507.03004v1 [math.PR])
| Published / Preprint: Hawkes Processes. (arXiv:1507.02822v1 [math.PR]) Posted: 12 Jul 2015 05:37 PM PDT Hawkes processes are a particularly interesting class of stochastic process that have been applied in diverse areas, from earthquake modelling to financial analysis. They are point processes whose defining characteristic is that they 'self-excite', meaning that each arrival increases the rate of future arrivals for some period of time. Hawkes processes are well established, particularly within... Visit MoneyScience for the Complete Article.      |
| Posted: 12 Jul 2015 05:37 PM PDT This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$. This non-affine model is much more realistic than classical affine models like the Heston stochastic volatility model, even though both are as parsimonious... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Radner equilibrium in incomplete Levy models. (arXiv:1507.02974v1 [q-fin.MF]) Posted: 12 Jul 2015 05:37 PM PDT We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result provides the equilibrium (i.e., bond and stock price dynamics) in closed-form. As an application, we show that the equilibrium Sharpe ratio can be increased and the... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jul 2015 05:37 PM PDT We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kernel function of the process is regularly varying at zero. The novel feature of the scheme is to approximate the kernel function by a power function near zero and by a step function elsewhere. The... Visit MoneyScience for the Complete Article.    |
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