EBookClubs

Read Books & Download eBooks Full Online

EBookClubs

Read Books & Download eBooks Full Online

Book Asset Pricing with Matrix Jump Diffusions

Download or read book Asset Pricing with Matrix Jump Diffusions written by Markus Leippold and published by . This book was released on 2010 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a new class of flexible and tractable matrix affine jump-diffusions (AJD) to model multivariate sources of financial risk. We first provide a complete transform analysis of this model class, which opens a range of new potential applications to, e.g., multivariate option pricing with stochastic volatilities and correlations, fixed-income models with stochastically correlated default intensities, or multivariate dynamic portfolio choice with volatility and correlation jumps. We then study in more detail some of the new structural features of our modeling approach in two applications to option pricing and dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generate variations of the implied volatility skew term structures that are largely unrelated to the level and composition of the spot volatility. This feature can allow the model to improve on benchmark AJD settings in reproducing the overall shape of the smile of equity index options. Second, we find that volatility and correlation jumps can imply an economically relevant intertemporal hedging demand in optimal dynamic portfolios, when jump intensities exhibit co-movement with the returns' covariancematrix.

Book Transform Analysis and Asset Pricing for Affine Jump diffusions

Download or read book Transform Analysis and Asset Pricing for Affine Jump diffusions written by Darrell Duffie and published by . This book was released on 1999 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the setting of affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensityy-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump timing.

Book Asset Pricing Under Jump Diffusion

Download or read book Asset Pricing Under Jump Diffusion written by Jin E. Zhang and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Jump diffusion Models in Empirical Asset Pricing

Download or read book Jump diffusion Models in Empirical Asset Pricing written by Adam Alexander Purzitsky and published by . This book was released on 2007 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: Continuous-time Markov processes are widely used to model a variety of variables in financial economics. When estimating the parameters of a continuous-time Markov model the method of choice, from a classical perspective, is maximum likelihood. However, in most cases the transition density of the process is not known in closed form and so the likelihood is uncomputable in closed form. In the first chapter of this dissertation I construct a closed form series expansion for the unknown likelihood for jump-diffusion models. In particular I can treat jump-diffusions with very little restriction on the state dependency of the jump distribution and this potentially allows for the construction of flexible models for state variables such as nominal interest rates or volatilities that have a natural finite boundary. It is well known that GARCH models, when viewed as filters and not as the data generating process, can consistently filter the unobservable volatility state of a diffusion process with stochastic volatility. However although the use of GARCH models remains widespread, if one accepts that in most applications the underlying process is likely to exhibit jumps then it is not clear what, if anything, the GARCH model is estimating. The second chapter of this dissertation shows that GARCH models retain their consistency for the diffusive volatility when the data generating process has jumps, provided that the diffusive volatility follows a diffusion. In a situation where ultra high frequency data is unavailable a GARCH type model is likely to be appropriate for volatility estimation. The result of this paper implies that in the presence of jumps the GARCH type model is still applicable provided the jumps are included in the quasi-likelihood of the time series model. Finally in the third chapter I construct a measure of "jumpiness" that does not require intra-day data and is robust to a realistic amount of error in the filtering of the diffusive volatility. This allows me to design a test for the presence of jumps that is applicable in the absence of ultra-high frequency data. An application to USD swap rate data indicates that jumps are prevalent in the yield curve and that jumps account for roughly a quarter of the variation in 10 year USD swap rates.

Book Transform Analysis of Affine Jump Diffusion Processes with Applications to Asset Pricing

Download or read book Transform Analysis of Affine Jump Diffusion Processes with Applications to Asset Pricing written by Claude Rodrigue Bambe Moutsinga and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a class of models in asset pricing, whose underlying has dynamics of Affine jump diffusion type. We first present L evy processes with their properties. We then introduce Affine jump diffusion processes which are basically a particular class of L evy processes. Our motivation for these is driven by the fact that many financial models are built on them. Affine jump diffusion processes present good analytical properties that allow one to get close form formulas for a wide range of option pricing. The approach we use here is based on the paper by Duffie D, Pan J, and Singleton K. An example will show how incorporating parameters such as the volatility of the underlying asset in the model, can influence the resulting price of the financial instrument under consideration. We will also show how this class of models incorporate well known models, specially those used to model interest rates dynamics, like for instance the Vasicek model.

Book Asset Pricing with Jump diffusion Income Shocks

Download or read book Asset Pricing with Jump diffusion Income Shocks written by Mark Freeman (producer) and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Asset Pricing with Jump diffusion Permanent Income Shocks

Download or read book Asset Pricing with Jump diffusion Permanent Income Shocks written by Mark Freeman and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Jump Diffusion International Asset Pricing with Nontraded Consumption Goods

Download or read book Jump Diffusion International Asset Pricing with Nontraded Consumption Goods written by Jaeyoung Sung and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a jump-diffusion international asset pricing model with stochastic exchange rates and inflation rates when investors consume both traded and nontraded goods. We argue that in general, the Adler-Dumas inflation rate differential may not fully capture PPP deviation risks, unless all volatilities, drift rates and jumps rates of PPP deviations/excchange rates are constant. The structure of optimal portfolios for investors from different countries reveals that country-specific demand for risky assets can arise from two sources of risks: PPP-deviation risks and nontraded-good-specific inflation-rate-differential risks. Consequently, equilibrium asset returns can be expressed in a multi-beta linear asset pricing model with a number of benchmark portfolios including hedge portfolios for PPP deviation risks and nontraded-good-specific inflation rate risks. The optimal portfolio structure further reveals that even if jump risks were added to otherwise pure diffusion assets in a no-jump world, investors' existing optimal portfolios of risky assets wouldn't change. We also note that risk premia on PPP deviation risks can be positive, zero, or even negative, that in the presence of inflation risks, hedging against exchange rate risks in isolation can sometimes make the investor's real wealth riskier than no hedging at all, and that a global investor optimally increases his consumption in both traded and nontraded goods as the price of the traded good of his own country increases.

Book Financial Modelling with Jump Processes

Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Book Functionals of Multidimensional Diffusions with Applications to Finance

Download or read book Functionals of Multidimensional Diffusions with Applications to Finance written by Jan Baldeaux and published by Springer Science & Business Media. This book was released on 2013-08-13 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.​

Book Jump diffusion Term Structure and Ito Conditional Moment Generator

Download or read book Jump diffusion Term Structure and Ito Conditional Moment Generator written by Hao Zhou and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Financial Theory with Python

Download or read book Financial Theory with Python written by Yves Hilpisch and published by "O'Reilly Media, Inc.". This book was released on 2021-09-23 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays, finance, mathematics, and programming are intrinsically linked. This book provides the relevant foundations of each discipline to give you the major tools you need to get started in the world of computational finance. Using an approach where mathematical concepts provide the common background against which financial ideas and programming techniques are learned, this practical guide teaches you the basics of financial economics. Written by the best-selling author of Python for Finance, Yves Hilpisch, Financial Theory with Python explains financial, mathematical, and Python programming concepts in an integrative manner so that the interdisciplinary concepts reinforce each other. Draw upon mathematics to learn the foundations of financial theory and Python programming Learn about financial theory, financial data modeling, and the use of Python for computational finance Leverage simple economic models to better understand basic notions of finance and Python programming concepts Use both static and dynamic financial modeling to address fundamental problems in finance, such as pricing, decision-making, equilibrium, and asset allocation Learn the basics of Python packages useful for financial modeling, such as NumPy, pandas, Matplotlib, and SymPy

Book Encyclopedia of Finance

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.