Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
This paper studies the optimal extraction and taxation of nonrenewable natural resources.
Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns
This work expands the analysis in Cooper (1999) and Santos and Guerra (2014), and the performance of the nonstructural models in estimating the "true" RNDs was measured through a process that generates "true" RNDs that are closer to reality, due to the…
We present an approach for pricing European call options in the presence of proportional transaction costs, when the stock price follows a general exponential Lévy process.
In this paper, the authors study factor-based subordinated Lévy processes in their variance gamma (VG) and normal inverse Gaussian (NIG) specifications, and focus on their ability to price multivariate exotic derivatives.
This paper considers the problem of European option pricing in the presence of a proportional transaction cost when the price of the underlying follows a jump–diffusion process.
This paper extends and refines the method of option pricing by frame projection of risk-neutral densities to incorporate B-splines.
The authors provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic.
In a simple model, Vivien Brunel establishes the properties of an operational risk model under the requirement of classification invariance
The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.
To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion.
This paper employs the fractional fast Fourier transform to calibrate parameters in an optimization setup.
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
Université de Lausanne’s Roberto Marfè investigates pure jump processes as modelling blocks for the distributions of energy returns under the pricing measure. An easy-to-implement option-implied approach is outlined, which circumvents most of the…
Mark Joshi and Alan Stacey develop a new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the variance gamma model for stock price evolution
Ernst Eberlein and Gerhard Stahl analyse price series of 25 energy spot rates simultaneously using Lévy models. This model class allows the capture of stochastic behaviour of these financial instruments. The implications of this analysis will form the…