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Quadratic BSDEs with Jumps and Related Non-linear Expectations: a Fixed-point Approach
BSDEs quadratic growth jumps non-linear Doob-Meyer decomposition dy-namical risk measures inf-convolution.
2012/9/17
We prove the existence of bounded solutions of quadratic backward SDEs with jumps, using a direct fixed point approach as in Tevzadze [35]. Under an additional standard assumption, we prove a uniquene...
Second Order BSDEs with Jumps, Part II: Existence and Applications
Second order backward stochastic differential equation backward stochas-tic differential equation with jumps
2012/9/14
In this paper, we follow the study of second order BSDEs with jumps started in our accompanying paper [17]. We prove existence of these equations bya direct method,thus providing complete wellposednes...
A new look at short-term implied volatility in asset price models with jumps
exponential Levy models Blumenthal-Getoor index short-dated options implied volatility.
2012/9/14
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
Numerical methods for the quadratic hedging problem in Markov models with jumps
Quadratic hedging Hamilton-Jacobi-Bellman equation Markov jump processes Par-tial integro-di erential equation Holder spaces electricity markets discretization schemes for PIDE.
2012/9/14
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
Preferences, Lévy Jumps and Option Pricing
equilibrium option pricing recursive utility Levy jumps
2011/4/2
This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices includin...
A Note on Delta Hedging in Markets with Jumps
Delta hedging exact replication martingale representation Black–Merton–Scholes model models with jumps
2011/3/30
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the...
TESTING WHETHER JUMPS HAVE FINITE OR INFINITE ACTIVITY
TESTING WHETHER JUMPS HAVE FINITE INFINITE ACTIVITY
2014/3/13
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treat...
Optimal closing of a pair trade with a model containing jumps
short position investment strategy financial industry
2010/4/28
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekstr\"om, L...
Volatility derivatives in market models with jumps
Volatility derivatives market models with jumps
2010/11/1
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features....
Preferences, Lévy Jumps and Option Pricing
equilibrium option pricing recursive utility Levy jumps
2011/4/6
This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices includin...