Results 11 to 20 of about 32 (29)
Business Cycles in Economics [PDF]
, 2018 The business cycles are generated by the oscillating macro-/micro-/nano- economic output variables in the economy of the scale and the scope in the amplitude/frequency/phase/time domains in the economics.
Ledenyov, Dimitri O. +1 more
core +2 more sources
Information-driven pricing Kernel models [PDF]
, 2013 A thesis submitted for the degree of Doctor of Philosophy 2013This thesis presents a range of related pricing kernel models that are driven by incomplete information about a series of future unknowns.
Parbhoo, Priyanka Anjali
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American Option Pricing using Self-Attention GRU and Shapley Value Interpretation
, 2023 Options, serving as a crucial financial instrument, are used by investors to manage and mitigate their investment risks within the securities market. Precisely predicting the present price of an option enables investors to make informed and efficient ...
Shen, Yanhui
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Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty
, 2023 We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections of random sets ...
Lepinette, Emmanuel, Mansour, Meriam El
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Path Integral and Asset Pricing [PDF]
, 2016 We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White model, we can
Kakushadze, Zura
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Machine learning methods for American-style path-dependent contracts
, 2023 In the present work, we introduce and compare state-of-the-art algorithms, that are now classified under the name of machine learning, to price Asian and look-back products with early-termination features.
Gambara, Matteo +2 more
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, 2023 We study the problem of valuing a vulnerable derivative with bilateral cash flows between two counterparties in the presence of funding, credit and wrong-way risks, and derive a closed-form valuation formula for an at-the-money (ATM) forward contract as ...
Buescu, Cristin +1 more
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Local Volatility Model With Stochastic Interest Rate [PDF]
, 2015 Many different models exist to describe the behaviour of asset prices and are used to value options on such an underlying asset. This report investigates the local volatility model in a stochastic interest rates framework.
Hu, Bing
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Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News
, 2022 This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns.
Pinchuk, Mykola
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Mortality linked derivatives and their pricing [PDF]
, 2017 This thesis addresses the absence of explicit pricing formulae and the complexity of proposed models (incomplete markets framework) in the area of mortality risk management requiring the application of advanced techniques from the realm of Financial ...
Bahl, Raj Kumari
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