Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Tilman Sayer"'
Publikováno v:
Applied Stochastic Models in Business and Industry. 36:307-334
We consider portfolio optimization in a regime‐switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::add4749d5d1fcad45a0a518b3b67b8fc
https://doi.org/10.1002/asmb.2491
https://doi.org/10.1002/asmb.2491
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48910817820731ba870c5d8717ed487f
https://doi.org/10.2139/ssrn.3706827
https://doi.org/10.2139/ssrn.3706827
Publikováno v:
The Journal of Derivatives. 20:9-29
The Binomial model and similar lattice methods are workhorses of practical derivatives valuation. But returns processes more realistic than lognormal diffusions with constant parameters easily create difficulties for them. One of the most important e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6292423ea336969ee649ac3c02743f1a
https://doi.org/10.3905/jod.2013.20.3.009
https://doi.org/10.3905/jod.2013.20.3.009
Publikováno v:
SSRN Electronic Journal.
We consider portfolio optimization in a regime-switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility are allowed to switch between different states. We consider diff
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::18d040c8bc1f4cede91bcec3ce30ca84
https://doi.org/10.2139/ssrn.2876807
https://doi.org/10.2139/ssrn.2876807
We employ Malliavin calculus techniques to compute the Delta of European type options in the presence of stochastic volatility. We obtain a general formula for the Malliavin weight and apply the derived formula to the well known models of Stein-Stein
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9eac3f51af360c76a10d8aa3287b820
https://publica.fraunhofer.de/handle/publica/246718
https://publica.fraunhofer.de/handle/publica/246718
Publikováno v:
Mathematik im Fraunhofer-Institut ISBN: 9783662448762
Optionen sind einer der wichtigsten Bausteine moderner Finanzmarkte. Die Theorie ihrer Bewertung ist eines der Vorzeigegebiete der modernen Finanzmathematik mit der Nobelpreis-gekronten Black–Scholes-Formel als dem bekanntesten Resultat der Finanzm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9626769c7df3842ddd0d3839f499df1e
https://doi.org/10.1007/978-3-662-44877-9_10
https://doi.org/10.1007/978-3-662-44877-9_10
Publikováno v:
SSRN Electronic Journal.
We investigate how ‘news sentiment’ in general and the ‘impact of news’ in particular can be utilised in designing equity trading strategies. News is an event that moves the market in a small way or a big way. We have introduced a derived mea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7e6e79cda47e9a383c30c7e95379be5c
https://doi.org/10.2139/ssrn.2702032
https://doi.org/10.2139/ssrn.2702032
Publikováno v:
Currents in Industrial Mathematics ISBN: 9783662482575
Options are an important building block of modern financial markets. The theory underlying their valuation is one of the showpieces of modern financial mathematics. It includes the Nobel Prize-winning Black–Scholes formula, the most famous result o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::838298afd52387cb2786b1f161950baf
https://doi.org/10.1007/978-3-662-48258-2_10
https://doi.org/10.1007/978-3-662-48258-2_10
Autor:
Tilman Sayer, Jörg Wenzel
Publikováno v:
FPGA Based Accelerators for Financial Applications ISBN: 9783319154060
We present the procedure of model calibration within the scope of financial applications. We discuss several models that are used to describe the movement of financial underlyings and state closed or semi-closed pricing formulas for basic financial i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ff2905eccdd1e227ca16e11771d97e9b
https://doi.org/10.1007/978-3-319-15407-7_2
https://doi.org/10.1007/978-3-319-15407-7_2
Autor:
Roman Horsky, Tilman Sayer
Publikováno v:
SSRN Electronic Journal.
In this article, we present an innovative hybrid model for the valuation of equity options. Our approach includes stochastic volatility according to Heston (1993) and features a stochastic interest rate that follows a three-factor short rate model ba
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6c08440cee6047d010046f4f0e45fc2e
https://doi.org/10.2139/ssrn.2456980
https://doi.org/10.2139/ssrn.2456980