Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Claudio Pacati"'
Publikováno v:
Journal of Banking & Finance. 96:185-206
We recommend the addition of a deterministic displacement to multi-factor affine models to calibrate and hedge SPX and VIX derivatives jointly. The proposed model, labeled Heston++, calibrates both markets with an average relative error (on quoted im
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::39b9ace32ad82d8b6ca7e64c23057178
https://doi.org/10.1016/j.jbankfin.2018.08.010
https://doi.org/10.1016/j.jbankfin.2018.08.010
Publikováno v:
SSRN Electronic Journal.
We recommend the addition of a deterministic displacement to multi-factor affine models to calibrate vanilla options on S&P500 and VIX derivatives jointly. The proposed model, labeled Heston , calibrates both markets with an average relative error (o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b3737c4b1228a76a44195773310f1b6
https://doi.org/10.2139/ssrn.2697179
https://doi.org/10.2139/ssrn.2697179
Publikováno v:
Scopus-Elsevier
We begin this paper by studying the construction of principal fibrations associated to F -fibrations (that is to say, fibrations whose fibres are objects of a fixed category F ). We prove that under certain conditions we can even define an inverse co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf11cb9529ae6a6210ed2c457272494c
https://doi.org/10.1016/s0166-8641(97)00171-5
https://doi.org/10.1016/s0166-8641(97)00171-5
Routinely, practictioners and academics alike propose the use of trading strategies with an alleged improvement on the risk-return relation, tipically entailing a considerably higher return for the given level of risk. A very popular example is "A qu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::806dc89ac3d83cb406df579902160f8a
https://hdl.handle.net/11384/6484
https://hdl.handle.net/11384/6484
Publikováno v:
Rendiconti del Seminario Matematico e Fisico di Milano. 65:35-52
Sia dato uno spazio topologicoE con azione di un monoide topologicoH e siaE→B una funzione continue che, su ogni apertoU di una partizione dell'unita diB, sia, a meno di omotopia, la proiezioneU×H→U (ovvero una fibrazione numerabile). Un classic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2e42d31f82e82e9097c96b0e9ba7f32d
https://doi.org/10.1007/bf02925251
https://doi.org/10.1007/bf02925251
Publikováno v:
SSRN Electronic Journal.
This technical report illustrates the basic principles for a fair valuation system in life insurance. The report is particularly concerned with the market consistent derivation of the Value of Business In Force (VBIF) for portfolios of profit-sharing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d5067158ece959bfe2f1e21dae2a5897
https://doi.org/10.2139/ssrn.2761395
https://doi.org/10.2139/ssrn.2761395
Autor:
Claudio Pacati
Publikováno v:
SSRN Electronic Journal.
We study the valuation problem of price and basis risk of the so called constant maturity bonds, that are bonds with floating rate coupon, depending on the level of a swap rate of constant maturity. We study the contract from a theoretical point of v
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f845832fae2b078b221ae1d7f25043d8
https://doi.org/10.2139/ssrn.272870
https://doi.org/10.2139/ssrn.272870
Autor:
Claudio Pacati
Publikováno v:
SSRN Electronic Journal.
We study how to extract from a given market pre-tax term structure of interest rates the information of the after-tax term structure, according to Italian taxation rules for the mostly traded bond-market contracts. We deduce a methodology to "net" th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::45fb6e67923a54dbdf5b4b752621b8c4
https://doi.org/10.2139/ssrn.256163
https://doi.org/10.2139/ssrn.256163