The bihamiltonian route to the discrete stato grassmannian

Dottorato di ricerca in matematica. Tutore Franco MagriConsiglio Nazionale delle Ricerche - Biblioteca Centrale - P.le Aldo Moro, 7 Rome; Biblioteca Nazionale Centrale - P.za Cavalleggeri, 1, Florence / CNR - Consiglio Nazionale delle RichercheSIGLEITItal

Fully Flexible Views: Theory and Practice

We propose a unified methodology to input non-linear views from any number of users in fully general non-normal markets, and perform, among others, stress-testing, scenario analysis, and ranking allocation. We walk the reader through the theory and we detail an extremely efficient algorithm to easily implement this methodology under fully general assumptions. As it turns out, no repricing is ever necessary, hence the methodology can be readily applied to books with complex derivatives. We also present an analytical solution, useful for benchmarking, which per se generalizes notable previous results. Code illustrating this methodology in practice is available at http://www.mathworks.com/matlabcentral/fileexchange/21307

Linear models for style analysis

No abstract availabl

Pricing discretely monitored Asian options under Levy processes

We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Levy process. For geometric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Levy-stable case. For arithmetic Asian options we solve the valuation problem by recursive integration and derive a recursive theoretical formula for the moments to check the accuracy of the results. We compare the implementation of our method to Monte Carlo simulation implemented with control variates and using different parametric Levy processes. We also discuss model risk issues.Asian options Discrete monitoring Quadrature Levy processes Stable processes Model risk