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pro vyhledávání: '"Gaetano La Bua"'
Autor:
Daniele Marazzina, Gaetano La Bua
Publikováno v:
Decisions in Economics and Finance. 45:209-239
In this article, we present a new class of pricing models that extend the application of Wishart processes to the so-called stochastic local volatility (or hybrid) pricing paradigm. This approach combines the advantages of local and stochastic volati
Autor:
Gaetano La Bua, Daniele Marazzina
Given the inherent complexity of financial markets, a wide area of research in the field of mathematical finance is devoted to develop accurate models for the pricing of contingent claims. Focusing on the stochastic volatility approach (i.e. we assum
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d8bb4e592fe16f54b744d280db4ddf2d
http://hdl.handle.net/11311/1164075
http://hdl.handle.net/11311/1164075
We analyze the asset management problem when the manager is remunerated through a scheme based on the performance of the fund with respect to a benchmark and his/her choices are driven by a power utility function. We show that it is not the asymmetri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::579b54ce36a759c5e0672dafa5d0e405
http://hdl.handle.net/11311/1056259
http://hdl.handle.net/11311/1056259
Publikováno v:
Innovations in Derivatives Markets ISBN: 9783319334455
Hull–White approach of CVA with embedded WWR (Hull and White, Financ. Anal. J. 68:58-69, 2012, [11]) can be easily applied also to portfolios of derivatives with early termination features. The tree-based approach described in Baviera et al. (Int.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::941390b3c41938cc9870cef536bb58b8
https://doi.org/10.1007/978-3-319-33446-2_5
https://doi.org/10.1007/978-3-319-33446-2_5
Autor:
Gaetano La Bua
Publikováno v:
SSRN Electronic Journal.
The need for more satisfactory pricing models has brought the attention of researchers and practitioners on Stochastic Local Volatility models. Despite the growing interest on the topic, however, it seems that no particular attention has been paid to
Publikováno v:
International Journal of Financial Engineering. :1650012
Hull White approach to Wrong Way Risk in the computation of the Credit Value Adjustment is considered the most straightforward generalization of the standard Basel approach. The model is financially intuitive and it can be implemented by a slight mod