Gamma and vega hedging using deep distributional reinforcement learning. [PDF]
Front Artif Intell, 2023 Cao J +6 more
europepmc +1 more source
Hedging Options with Scale-Invariant Models [PDF]
A price process is scale-invariant if and only if the returns distribution is independent of the price level. We show that scale invariance preserves the homogeneity of a pay-off function throughout the life of the claim and hence prove that standard ...
Carol Alexander, Leonardo M. Nogueira
core
A variable-rate quantitative trait evolution model using penalized-likelihood. [PDF]
PeerJ, 2021 Revell LJ.
europepmc +1 more source
Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models [PDF]
The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets.
Carol Alexandra, Leonardo M. Nogueira
core
Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models [PDF]
This paper presents a new approximation formula for pricing swaptions and caps/floors under the LIBOR market model of interest rates (LMM) with the local and affine-type stochastic volatility.
Akihiko Takahashi +2 more
core +3 more sources
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. [PDF]
Ann Oper Res, 2022 Cummins M +4 more
europepmc +1 more source
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. [PDF]
Math Financ Econ, 2021 Bernis G +3 more
europepmc +1 more source
Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas. [PDF]
In practice the option pricing models are calibrated to market prices of liquid instruments. Consequently for those instruments, all the models give the same price. But the computed risk can be widely different.
Marc Henrard
core
Fine-tune your smile: Correction to Hagan et al
, 2008 In this small note we use results derived in Berestycki et al. to correct the celebrated formulae of Hagan et al. We derive explicitly the correct zero order term in the expansion of the implied volatility in time to maturity.
Obloj, Jan
core
"On Pricing Barrier Options with Discrete Monitoring" [PDF]
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively ...
Akihiko Takahashi +2 more
core