相关论文: Numerical analysis on quadratic hedging strategies…
We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended…
We introduce and document a class of probability distributions, called bilateral generalized inverse Gaussian (BGIG) distributions, that are obtained by convolution of two generalized inverse Gaussian distributions supported by the positive…
We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump type models have already been suggested, but none is suited to…
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of…
We consider the performance of non-optimal hedging strategies in exponential L\'evy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representations, we use the Laplace transform…
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been…
In this article, normal inverse Gaussian (NIG) autoregressive model is introduced. The parameters of the model are estimated using Expectation Maximization (EM) algorithm. The efficacy of the EM algorithm is shown using simulated and real…
In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics models and are…
We apply a quadratic hedging scheme developed by Foellmer, Schweizer, and Sondermann to European contingent products whose underlying asset is modeled using a GARCH process and show that local risk-minimizing strategies with respect to the…
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated…
This manuscript reviews theoretical results and applications related to quadratic forms in Gaussian random variables. It summarizes definitions, canonical representations, exact and approximate distributional results, numerical inversion…
In this study, a numerical quadrature for the generalized inverse Gaussian distribution is derived from the Gauss-Hermite quadrature by exploiting its relationship with the normal distribution. The proposed quadrature is not Gaussian, but…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
In portfolio risk minimization, the inverse covariance matrix of returns is often unknown and has to be estimated in practice. This inverse covariance matrix also prescribes the hedge trades in which a stock is hedged by all the other…
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic…
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions. As an…
Several numerical approximation strategies for the expectation-propagation algorithm are studied in the context of large-scale learning: the Laplace method, a faster variant of it, Gaussian quadrature, and a deterministic version of…
Bayesian quadrature is a probabilistic, model-based approach to numerical integration, the estimation of intractable integrals, or expectations. Although Bayesian quadrature was popularised already in the 1980s, no systematic and…
In this work, we study the value of an Asian option in the case of exponential Levy markets. More specifically, we are interested in the NIG (normal inverse Gaussian) the VG (variance gamma) models. The exponential Levy models produce…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…