33,991 research outputs found
Markov cubature rules for polynomial processes
We study discretizations of polynomial processes using finite state Markov
processes satisfying suitable moment matching conditions. The states of these
Markov processes together with their transition probabilities can be
interpreted as Markov cubature rules. The polynomial property allows us to
study such rules using algebraic techniques. Markov cubature rules aid the
tractability of path-dependent tasks such as American option pricing in models
where the underlying factors are polynomial processes.Comment: 29 pages, 6 Figures, 2 Tables; forthcoming in Stochastic Processes
and their Application
Robust pricing--hedging duality for American options in discrete time financial markets
We investigate pricing-hedging duality for American options in discrete time
financial models where some assets are traded dynamically and others, e.g. a
family of European options, only statically. In the first part of the paper we
consider an abstract setting, which includes the classical case with a fixed
reference probability measure as well as the robust framework with a
non-dominated family of probability measures. Our first insight is that by
considering a (universal) enlargement of the space, we can see American options
as European options and recover the pricing-hedging duality, which may fail in
the original formulation. This may be seen as a weak formulation of the
original problem. Our second insight is that lack of duality is caused by the
lack of dynamic consistency and hence a different enlargement with dynamic
consistency is sufficient to recover duality: it is enough to consider
(fictitious) extensions of the market in which all the assets are traded
dynamically. In the second part of the paper we study two important examples of
robust framework: the setup of Bouchard and Nutz (2015) and the martingale
optimal transport setup of Beiglb\"ock et al. (2013), and show that our general
results apply in both cases and allow us to obtain pricing-hedging duality for
American options.Comment: 29 page
Credit risk with semimartingales and risk-neutrality
A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive
process, and an approach to price corporate bonds in incomplete markets, is presented in this
paper. We derive the no-arbitrage conditions under different conditions of recovery, and we
obtain new expressions in order to estimate the probabilities of default under risk-neutral
measure
Non-Arbitrage Under Additional Information for Thin Semimartingale Models
This paper completes the two studies undertaken in
\cite{aksamit/choulli/deng/jeanblanc2} and
\cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact
of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called
NUPBR hereafter) when the stock price processes are quasi-left-continuous (do
not jump on predictable stopping times). Herein, we focus on the NUPBR for
semimartingales models that live on thin predictable sets only and the
progressive enlargement with a random time. For this flow of information, we
explain how far the NUPBR property is affected when one stops the model by an
arbitrary random time or when one incorporates fully an honest time into the
model. This also generalizes \cite{choulli/deng} to the case when the jump
times are not ordered in anyway. Furthermore, for the current context, we show
how to construct explicitly local martingale deflator under the bigger
filtration from those of the smaller filtration.Comment: This paper develops the part of thin and single jump processes
mentioned in our earlier version: "Non-arbitrage up to random horizon and
after honest times for semimartingale models", Available at:
arXiv:1310.1142v1. arXiv admin note: text overlap with arXiv:1404.041
Variety and Volatility in Financial Markets
We study the price dynamics of stocks traded in a financial market by
considering the statistical properties both of a single time series and of an
ensemble of stocks traded simultaneously. We use the stocks traded in the
New York Stock Exchange to form a statistical ensemble of daily stock returns.
For each trading day of our database, we study the ensemble return
distribution. We find that a typical ensemble return distribution exists in
most of the trading days with the exception of crash and rally days and of the
days subsequent to these extreme events. We analyze each ensemble return
distribution by extracting its first two central moments. We observe that these
moments are fluctuating in time and are stochastic processes themselves. We
characterize the statistical properties of ensemble return distribution central
moments by investigating their probability density functions and temporal
correlation properties. In general, time-averaged and portfolio-averaged price
returns have different statistical properties. We infer from these differences
information about the relative strength of correlation between stocks and
between different trading days. Lastly, we compare our empirical results with
those predicted by the single-index model and we conclude that this simple
model is unable to explain the statistical properties of the second moment of
the ensemble return distribution.Comment: 10 pages, 11 figure
WHAT INSTITUTIONS HAVE RESPONSABILITIES IN THE FIELD OF TAXATION IN ROMANIA?
In everyday language, to refer to a state institution dealing with the establishment, collection and tracking contributions to state tax authorities use the term tax authorities. Under this "dome" called FISC sits all public institutions, which în their activity, directly or indirectly perceive and seek public financial resources consist of taxes and contributions. Through this article, we try to find answer to the question of title, exceeding the fields created by Ministry of Public Finance and presenting public institutions under the jurisdiction of other ministries, but with the powers in tax matters.tax authorities, tax administration, responsibilities, taxpayers, state
- …