Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Jörgen Blomvall"'
Publikováno v:
Entropy, Vol 24, Iss 1, p 95 (2022)
Liquid financial markets, such as the options market of the S&P 500 index, create vast amounts of data every day, i.e., so-called intraday data. However, this highly granular data is often reduced to single-time when used to estimate financial quanti
Externí odkaz:
https://doaj.org/article/c1e1a9242f50482eb2945bd4bbbc7c89
Publikováno v:
Communications in Statistics: Case Studies, Data Analysis and Applications. 9:72-105
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f79d03649b5481656ee1c7932a7ce06e
https://doi.org/10.1080/23737484.2023.2186283
https://doi.org/10.1080/23737484.2023.2186283
Autor:
Jörgen Blomvall, Jonas Ekblom
Publikováno v:
European Journal of Operational Research. 285:106-119
In this paper, we propose an approach to construct an analytical approximation of the zero-variance importance sampling distribution. We show specifically how this can be designed for the classic intertemporal portfolio choice problem with proportion
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c5e1afbeea0f2b9ef44cbd3720e5204
https://doi.org/10.1016/j.ejor.2019.01.013
https://doi.org/10.1016/j.ejor.2019.01.013
Publikováno v:
Entropy; Volume 24; Issue 1; Pages: 95
Liquid financial markets, such as the options market of the S&P 500 index, create vast amounts of data every day, i.e., so-called intraday data. However, this highly granular data is often reduced to single-time when used to estimate financial quanti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=multidiscipl::8cff1a1c16907bed4b016e285b344b28
Autor:
Jörgen Blomvall, Johan Hagenbjörk
Traditional methods for hedging interest rate risk do not take transaction costs into account as they aim to eliminate all risk. We propose a two-stage stochastic programming model for hedging interest rate risk where transaction costs are weighed ag
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1301477cb574a965d4af5c34a22b9984
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-186808
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-186808
Sequential decision problems under uncertainty are commonly studied with stochastic programing. An important modeling choice is the number of stages. More stages allow additional information to be captured, but is associated with a coarser representa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::256ef940f61d6ff50bd770586c4e2c3a
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-181642
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-181642
Autor:
Jonas Ekblom, Jörgen Blomvall
Publikováno v:
Annals of Operations Research. 266:35-69
We develop a stochastic programming framework for hedging currency and interest rate risk, with market traded currency forward contracts and interest rate swaps, in an environment with uncertain cash flows. The framework captures the skewness and kur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3f2dc9b208b280252f4a7ada4c427a2b
https://doi.org/10.1007/s10479-017-2645-6
https://doi.org/10.1007/s10479-017-2645-6
Autor:
Jörgen Blomvall
Publikováno v:
European Journal of Operational Research. 256:308-316
Measurement of a single interest rate curve is an important and well-studied inverse problem. To select plausible interest rate curves from the infinite set of possible interest rate curves, forward rates should be used in the regularization. By disc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1157b8f559876149b1183088833eec8e
https://doi.org/10.1016/j.ejor.2016.05.053
https://doi.org/10.1016/j.ejor.2016.05.053
Autor:
Johan Hagenbjörk, Jörgen Blomvall
We study methods to simulate term structures in order to measure interest rate risk more accurately. We use principal component analysis of term structure innovations to identify risk factors and we model their univariate distribution using GARCH-mod
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2842cfe271c1afcb037eec6a8c14464f
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-151604
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-151604
Autor:
Jörgen Blomvall, Johan Hagenbjörk
We propose a generic framework for performance attribution in monetary terms. Through a second-order Taylor approximation, the changes in portfolio value are attributed to a set of systematic risk factors. By considering two error terms arising from
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e23c0328ad3609951629e56c10edfdec
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-158925
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-158925