Search results for "Implied"
showing 7 items of 37 documents
Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
2013
In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedging strategy is then explicitly obtained for the Scott's model.
L?escrutini de la Batllia General de València durant la visita general de Pedro de la Gasca (1543-1545)
2019
Master?s Final Project is aimed at illustrating the situation that the general Bailiwick of València experienced within the firs half of the sixteenth century, starting from the reconstruction of the general visit process carried out by Pedro de la Gasca, as well as the consequences it implied for the institution.
THE CARMA INTEREST RATE MODEL
2014
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering
2013
In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level of predictability of any volatility time-series and the amount of its inter-dependence with other assets. In all considered cases, the more the asset is linked to other assets, the more its volatility keeps memory of …
In Search of Characters Without Signifiers
2022
This essay explores the question whether characters can exist without being signified in any way. If characters can exist trans-medially, independently of a particular form of signification or sign-vehicle, why not exist without any signification at all? What kind of existence would such a character have? And, paradoxically, what would examples look like? While the question at face value might appear logically invalid, I argue that at (or just beyond) the minimalist end of the character-representational spectrum, we find what might be called implied characters, that is, characters that are not in any way given, represented, named, or performed, but can only exist in the minds of their playe…
Umowa deweloperska – początek biegu terminu na stwierdzenie wad budynku
2021
W artykule rozważona jest kwestia, który moment/które momenty należałoby uznać za początek biegu terminu na stwierdzenie wad jednego z przedmiotów umowy deweloperskiej, tj. budynku. Aby problem ten prawidłowo przeanalizować, w opracowaniu została przyjęta następująca struktura. W ramach zagadnień wstępnych przedstawiono, co należałoby uznać za przedmiot umowy deweloperskiej, jak prawnie należałoby zakwalifikować umowę deweloperską oraz czym różni się termin na stwierdzenie wady od terminu na jej zgłoszenie. Następnie rozważono, kiedy zaczyna biec termin na stwierdzenie wad budynku. Opracowanie wieńczy krótkie podsumowanie