Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Merino, Raul"'
Autor:
García-Lorite, David, Merino, Raul
In this paper, we present a new method for pricing CMS derivatives. We use Mallaivin's calculus to establish a model-free connection between the price of a CMS derivative and a quadratic payoff. Then, we apply Watanabe's expansions to quadratic payof
Externí odkaz:
http://arxiv.org/abs/2404.01522
Autor:
García-Lorite, David, Merino, Raul
In this paper, we develop a novel method based on Malliavin calculus to find an approximation for the convexity adjustment for various classical interest rate products. Malliavin calculus provides a simple way to get a template for the convexity adju
Externí odkaz:
http://arxiv.org/abs/2304.13402
We provide a probabilistic SIRD model for the COVID-19 pandemic in Italy, where we allow the infection, recovery and death rates to be random. In particular, the underlying random factor is driven by a fractional Brownian motion. Our model is simple
Externí odkaz:
http://arxiv.org/abs/2008.00033
Publikováno v:
Int. J. Theor. Appl. Finance 21(8), 1850052, 2018
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an extension of the well-known result by Alos (2012) for Heston (1993) SV
Externí odkaz:
http://arxiv.org/abs/1906.06930
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly popular between academics and practitioners due to their surprising con
Externí odkaz:
http://arxiv.org/abs/1906.07101
In the present paper, a decomposition formula for the call price due to Al\`{o}s is transformed into a Taylor type formula containing an infinite series with stochastic terms. The new decomposition may be considered as an alternative to the decomposi
Externí odkaz:
http://arxiv.org/abs/1905.06315
Autor:
Bouwknegt, Jonna, Wiersma, Sanne J., Ortiz-Merino, Raúl A., Doornenbal, Eline S. R., Buitenhuis, Petrik, Giera, Martin, Müller, Christoph, Pronk, Jack T.
Publikováno v:
Proceedings of the National Academy of Sciences of the United States of America, 2021 Aug 01. 118(32), 1-9.
Externí odkaz:
https://www.jstor.org/stable/27052807
Autor:
Dekker, Wijbrand J.C., Ortiz-Merino, Raúl A., Kaljouw, Astrid, Battjes, Julius, Wiering, Frank W., Mooiman, Christiaan, Torre, Pilar de la, Pronk, Jack T.
Publikováno v:
In Metabolic Engineering September 2021 67:347-364
Autor:
Merino, Raul, Vives, Josep
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock price does not
Externí odkaz:
http://arxiv.org/abs/1503.08119
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