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A Welfare Criterion for Models with Distorted Beliefs
belief disagreements distorted expectations speculation welfare criterion Pareto e￠ ciency belief-neutral e￠ ciency externalities
2014/3/18
This paper proposes a welfare criterion for economies in which agents have heterogeneously distorted beliefs. Instead of taking a stand on whose belief is correct, our
criterion asserts an allocation...
On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals
interest rate models term structure dynamics Heath-Jarrow-Morton framework pricing kernels Wiener chaos Flesaker-Hughston models potentials
2011/7/19
In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration (Ft)t0. Let X be a square-integrable F1-measur...
Spin models as microfoundation of macroscopic financial market models
Macroscopic price market regulation phenomenological macroscopic models
2011/3/31
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic mode...
American Step-Up and Step-Down Credit Default Swaps under Levy Models
American Step-Up Step-Down Credit Default Swaps Models
2011/1/4
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are e...
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Heat Kernel Interest Rate Models Time-Inhomogeneous Markov Processes
2011/1/4
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
A la Carte of Correlation Models: Which One to Choose?
copula contagion mixture model exponential decay counterparty risk
2010/10/22
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage ...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage
2010/10/18
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model
2010/10/21
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
Non-existence of Markovian time dynamics for graphical models of correlated default
Markovian time dynamics graphical models correlated default
2010/10/21
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a group of firms at the end of a given time period. The ingredients in the model are a graph, where the vertices correspond...
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
Law of the spot price local-stochastic volatility moment explosion
2010/10/20
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as...
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Deterministic criteria arbitrage one-dimensional diffusion models
2010/10/20
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional d...
Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
interacting many-investor dynamics Price Formation Non-extensive Statistics
2010/4/28
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known...
Tracking errors from discrete hedging in exponential Lévy models
Tracking errors discrete hedging exponential Lévy models
2010/10/18
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to z...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
option pricing jump diffusion models
2010/10/18
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a par...