Download or read book Essays on Multi asset Jump Diffusion Models written by Cheng-Yu Yang and published by . This book was released on 2016 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Jump Diffusion Models in Asset Pricing and on the Prediction of Aggregate Stock Returns written by Roman Frey and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Diese Dissertation besteht aus drei individuellen Aufsätzen, die jeweils eine in sich geschlossene Forschungsarbeit darstellt. Im ersten Aufsatz, "Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis was Good For", analysieren wir die out-of-sample Performance von zeitstetigen affinen und nicht affinen stochastischen Volatilitätsmodellen. Die out-of-sample Modellperformance ist eine Kennzahl mit zentraler Bedeutung für Investoren. Sie spielt unter anderem im Risikomanagement, der Asset Allocation wie auch in der Bewertung von derivativen Instrumenten, eine entscheidende Rolle. In dieser empirischen Studie, die auf täglichen Renditen des Aktienindex S&P 500 basiert, testen wir insgesamt 24 verschiedene Modellspezifikationen. Unser Testansatz evaluiert die durch die Modelle vorhergesagten Verteilungsdichten. Der entscheidende Vorteil dieser Methodik liegt darin, dass wir jeweils die gesamte modellinduzierte Dichte berücksichtigen. Unsere empirischen Resultate zeigen, dass sich die, in der Literatur häufig diskutierte, gute in-sample Modellperformance in out-of-sample Anwendungen generell nicht bestätigen lässt. Mittels eines rollierenden Zeitfensters beobachten wir, dass Modellparameter, die während einer genügend volatilen Marktphase geschätzt wurden, deutlich bessere out-of-sample Resultate liefern. Vielversprechend ist demzufolge die out-of-sample Performance, wenn die Modellparameter auf der sich kürzlich abgespielten Finanzkrise geschätzt und zur Vorhersage von Verteilungsdichten verwendet werden. Generell beobachten wir, dass zum einen affine Modelle bessere Resultate erreichen als nicht affine. Zum anderen deuten unsere Ergebnisse darauf hin, dass Modelle mit Sprüngen in den Renditen sowie Varianzen besser performen als pure Diffusionsmodelle. Der zweite Aufsatz mit dem Titel "Pricing CO2 Futures Options - Empirical In- and Out-of-Sample Performance Analysis" analys.
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.
Download or read book Jump diffusion Models of Asset Prices Theory and Empirical Evidence written by Jun Pan and published by . This book was released on 2000 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Two asset Jump Diffusion Model with Correlation written by Matthew Stephen Martin and published by . This book was released on 2007 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Jump diffusion Processes and Affine Term Structure Models written by J. Benson Durham and published by . This book was released on 2005 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this paper outlines alternative methods that seem to improve accuracy. Also, closed-form solutions, numerical estimates, and closed-form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this paper explores a broader set of possible densities that may be more consistent with intuition, including a bi-modal Gaussian mixture. GMM and MLE of one- and two-factor jump-diffusion models produce some evidence for jumps, but sensitivity analyses suggest sizeable confidence intervals around the parameters.
Download or read book Multivariate Jump Diffusion Model with Markovian Contagion written by Pablo Jose Campos de Carvalho and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset prices exhibit characteristics that significantly deviate from log-normality and display time-varying stochastics. There is ample evidence of jumps in one asset price or market leading to jumps in other assets' prices or markets. We propose a multivariate jump diffusion model with Markovian contagion to capture these asset price dynamics, where the channel of contagion is taken to periodically switch from an active to inactive state. We use a dynamic conditional correlation network approach to determine the contagion states and estimate the Markovian contagion model. Applying the model to an international equity and currency portfolio allocation shows the capabilities of the model in capturing fat tail characteristics of asset returns, as well as evaluate the extent of model risk, intra-asset class, inter-asset and inter-region contagion.
Download or read book Jump Diffusion and Stochastic Volatility Models in Securities Pricing written by Mthuli Ncube and published by . This book was released on 2012 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Study on the Jump diffusion Two beta Asset Pricing Model written by Hongqing Chen and published by . This book was released on 1996 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Jump Diffusion Models in Volatility written by Eleftheria Tassi-Londorfou and published by . This book was released on 2002 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Portfolio Optimization and ESG Ratings under Risk Constraints and Incomplete Information written by Janke, Oliver and published by Lehmanns Media. This book was released on with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor’s information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks’ lending to firms, on the regulator’s deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2004 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Performance and Asset Pricing in Markov Jump Diffusion Models written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 為了改進Black-Scholes模式的實證現象, 許多其他的模型被建議有leptokurtic特性以及波動度聚集的現象. 然而對於其他的模型分析的處理依然是一個問題. 在本論文中, 我們建議使用馬可夫跳躍擴散過程, 不僅能整合leptokurtic與波動度微笑特性, 而且能產生波動度聚集的與長記憶的現象. 然後, 我們應用Lucas的一般均衡架構計算選擇權價格, 提供均衡下當跳躍的大小服從一些特別的分配時則選擇權價格的解析解. 特別地, 考慮當跳躍的大小服從兩個情況, 破產與lognormal分配. 當馬可夫跳躍擴散模型的馬可夫鏈有兩個狀態時, 稱為轉換跳躍擴散模型, 當跳躍的大小服從lognormal分配我們得到選擇權公式. 使用轉換跳躍擴散模型選擇權公式, 我們給定一些參數下研究公式的數值極限分析以及敏感度分析.
Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Download or read book Optimal Long Term Investment in a Jump Diffusion Setting written by Ba M. Chu and published by . This book was released on 2008 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we generalize the model of Pham (Pham [2003]) to jump diffusion models. Based on (Pham [2003]), we first consider an investment model where we construct a portfolio of a riskless asset and a risky one which is assumed to follow a jump diffusion process so as to overperform a given benchmark. We perturb up to the second order the dynamics of the economic indicator process with respect to the jump step of the risky asset so as to obtain a large deviation probability control problem with its duality which is an risk sensitive control problem on the optimal logarithmic moment generating function that can be explicitly derived. We then prove without relying on the ergodicity of the economic indicator process that the logarithmic moment generating function (or exponential utility function) is definitely optimal. Last we use the large deviation theorem to state the equivalence between optimal probabilistic risk and optimal growth rate of the portfolio management.
Download or read book Pricing and Hedging Under High dimensional Jump diffusion Models Using Partial Differential Equations written by Peter Thomas Hepperger and published by . This book was released on 2011 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
