计算金融
We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicating strategy for the target volatility option, assuming the…
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks provide a model-free means to analize the prediction power…
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive…
Time-series calibrations often suggest that the GARCH diffusion model could also be a suitable candidate for option (risk-neutral) calibration. But unlike the popular Heston model, it lacks a fast, semi-analytic solution for the pricing of…
The QLBS model is a discrete-time option hedging and pricing model that is based on Dynamic Programming (DP) and Reinforcement Learning (RL). It combines the famous Q-Learning method for RL with the Black-Scholes (-Merton) model's idea of…
The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose asset price process is given by the exponential of a normal…
This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional…
When the underlying asset displays oscillations, spikes or heavy-tailed distributions, the lognormal diffusion process (for which Black and Scholes developed their momentous option pricing formula) is inadequate: in order to overcome these…
Typically flat filling, linear or polynomial interpolation methods to generate missing historical data. We introduce a novel optimal method for recreating data generated by a diffusion process. The results are then applied to recreate…
Learning customer preferences from an observed behaviour is an important topic in the marketing literature. Structural models typically model forward-looking customers or firms as utility-maximizing agents whose utility is estimated using…
The aim of this paper is to explain how parameters adjustments can be integrated in the design or the control of automates of trading. Typically, we are interested by the online estimation of the market impacts generated by robots or single…
In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2) concurrent reactions of market players to dynamic market…
We present a numerical scheme to calculate fluctuation identities for exponential L\'evy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult…
We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new…
In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by…
This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their conversion rates on new business based…
We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate, and foreign interest rate, and also allows for…
We apply a new numerical method, the singular Fourier-Pad\'e (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in L\'evy and affine processes. The motivation behind this application is to reduce the…
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject of the attention by many researchers…
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model with general utility functions. It is well known there is a…