Results 11 to 20 of about 35,071 (244)
Market timing skill of foreign portfolio investors in India
IIMB Management Review, 2020 This study examines the market timing skill of foreign portfolio investors (foreign institutional investors or FIIs) in India as a group. A simulated portfolio is constructed that invests in the market index replicating the patterns of aggregate net FII ...
K.N. Badhani, Ashish Kumar
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Mathematical foundation of the replicating portfolio approach [PDF]
Scandinavian Actuarial Journal, 2016 In the last few years, the first theoretical foundations for replicating portfolios (probably the most prevailing technique for risk capital calculation in life insurance) have been given in a series of papers by Beutner et al. (2015), Pelsser and Schweizer (2015) and Beutner et al. (2013).
Jan Natolski, Ralf Werner
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A Kramers-Moyal approach to the analysis of third-order noise with applications in option valuation. [PDF]
PLoS ONE, 2015 We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula's theorem, which states that a truncated model may
Dan M Popescu, Ovidiu Lipan
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ANALYSIS OF MONTHLY RATES OF RETURN IN JANUARY AND DECEMBER ON THE EXAMPLE OF SELECTED WORLD STOCK EXCHANGE INDEXES [PDF]
Modern Management Review, 2015 In today's financial market there is a debate on the efficiency of markets between theoreticians and practitioners. While the former are trying to demonstrate the efficiency of financial markets, the second group believes that financial markets are not ...
Krzysztof BOROWSKI
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A machine learning approach to portfolio pricing and risk management for high-dimensional problems
, 2021 We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting.
Fernandez-Arjona, Lucio +1 more
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Replicating Portfolios: Constructing Permissionless Derivatives
, 2022 18 pages, 4 ...
Sterrett, Estelle +2 more
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Medical Sciences, 2021 The Severe Acute Respiratory Syndrome Coronavirus 2 (SARS-CoV-2) is a new pathogen agent causing the coronavirus infectious disease (COVID-19). This novel virus originated the most challenging pandemic in this century, causing economic and social ...
Giuseppe Tardiolo +6 more
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Mathematical Analysis of Replication by Cash Flow Matching
Risks, 2017 The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital.
Jan Natolski, Ralf Werner
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Pricing and Hedging Guaranteed Annuity Options via Static Option Replication [PDF]
, 2002 In this paper we derive a market value for Guaranteed Annuity Option using martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanilla interest rate swaptions that replicates the Guaranteed Annuity ...
Pelsser, A.A.J. (Antoon)
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Economics and Business Review, 2020 In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset?
Bieta Volker, Broll Udo, Siebe Wilfried
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