Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classical valuation rules can be formulated. It is shown when and how these local valuation rules can be aggregated to obtain global arbitrage-fre…
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48 results for “Asset Valuation”
Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuationq-fin.RM
This paper optimizes crypto portfolios and valuates crypto options.
problem High volatility and lack of standard pricing models for crypto assets.
method Optimization techniques to minimize tail risk, dynamic pricing model for crypto assets, Esscher transform for fair valuation.
result Optimized crypto portfolios outperform major stock indices.
Depreciation methods ignore the Time Value of Money, leading to suboptimal asset valuation.
problem Depreciation methods do not account for the Time Value of Money, leading to suboptimal asset valuation.
method Formulate a depreciation method that incorporates the Time Value of Money to approximate intrinsic asset value.
result A new depreciation method improves asset valuation, aiding better purchase and sale decisions.
Value-tracking in financial markets breaks down when non-valuation-based traders dominate.
problem Understanding the threshold for value-tracking in financial markets.
method Simple discrete-time model to show how non-valuation-based traders can cause tracking errors.
result A threshold above which value-tracking breaks down without changes in asset value.
Framework for realistic insurance liability valuation.
problem Economic realism in insurance liability valuation.
method Replication approach of no-arbitrage theory, considering capital and fulfillment conditions.
result Identifies conditions for market price recovery and extends production for insolvency.
Neural networks assess asset-liability risk over time.
problem Challenging valuation of portfolios with complex products.
method Neural network approach for conditional portfolio valuation.
result Effective risk assessment for banking and insurance portfolios.
The paper revisits and applies FTAP to life insurance and annuities pricing.
problem Non-arbitrage pricing of life contingent assets in dynamic markets.
method Revisit FTAP, use martingale theory, apply FTAP to life insurance and annuities, clarify assumptions.
result Valuation formula for life contingent assets including life insurance policies and annuities.
Develops a valuation model for in-play football bets.
problem Valuation and hedging of in-play football bets.
method Model scores using independent Poisson processes, applies Fundamental Theorems of Asset Pricing.
result Derives arbitrage-free valuation formulas for in-play bets.
Study robust hedging and valuation under combined uncertainty about asset price drifts and volatilities.
problem Robust hedging and valuation under uncertainty about asset price drifts and volatilities.
method Non-dominated multiple priors approach to model uncertainty, worst-case good-deal bounds, coherent risk measures, second-order backward stochastic differential equations.
result Characterization of hedging strategies and good-deal bounds via solutions to backward stochastic differential equations.
Valuing Post-Revenue Biopharmaceutical Assets with Pfizer's Current Portfolio as a Case Studyq-fin.PR
This study improves valuation of post-revenue biopharmaceutical assets using Pfizer's data.
problem Accurate valuation of post-revenue drug assets in biotech and pharma.
method Historical sales data analysis to forecast future sales and calculate Net Present Value.
result Demonstrates a method for more informed investment decisions in biotech and pharma.
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model behavior: the volatility pr…
Consistent valuation across different interest rate curves using pricing kernels.
problem Asset pricing with varying discount and cash flow rates.
method Pricing kernel framework linking distinct markets with consistent curve-conversion factors.
result Derivation of an across-curve pricing formula enabling consistent valuation and hedging.
Integrates ESG factors into Bachelier's model for asset pricing.
problem Incorporating ESG factors into classical finance models.
method Defines ESG price process and integrates into Bachelier's model.
result Enables option pricing valuation with ESG factors.
Numerical valuation of European options under two-asset infinite-activity exponential Lévy modelsmath.NA
Method extends option valuation for 2D Lévy models.
problem Valuation of European options under 2-asset infinite-activity Lévy models.
method Developed numerical method extending Wang et al. (2007) for 1D to 2D, using Fourier transform for integral term and semi-Lagrangian theta-method for temporal discretization.
result Favourable second-order convergence for Normal Tempered Stable dynamics.
Hedging the Singularityq-fin.GN
AI stocks hedge against AI singularity's economic impact.
problem AI singularity's displacement of consumption.
method Developed an asset pricing model with incomplete markets.
result AI stocks command a premium due to market incompleteness.
Study on currency option valuation in crisis markets.
problem Valuation of currency options in financial crisis markets.
method Modified Black-Scholes model with augmented stochastic volatility.
result Closed-form solution for European call and put options.
This study examines how risky investments affect insurance capital valuation.
problem Standard cost-of-capital assumptions do not account for risky investments.
method Analyzed effects of allowing buffer capital investments in risky assets.
result Decomposition of buffer capital contributions varies with riskiness.
This study examines the collateral choice option and its valuation and hedging.
problem Non-zero collateral basis spreads impact asset valuation and require complex modeling.
method Develops a stochastic valuation model for the collateral choice option and proposes hedging strategies.
result The stochastic model attributes risks to all involved collateral currencies, unlike the deterministic model.
Stochastic discount factorsq-fin.PR
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself. Yields vary across different investment opportunities and their interrelations are …
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff funct…
Enhances financial market valuation and trading algorithms using distributional value functions.
problem Accurate valuation and optimal trading decisions in financial markets.
method Combines predictive knowledge and deep reinforcement learning to introduce CDG-Model, a flexible framework for financial market valuation and trading.
result Improved market valuation and trading performance through enhanced feature creation and integration of real-world market factors.
Unified econometric model for portfolio optimization and option valuation.
problem Time-varying volatility and heavy tails in asset returns.
method Multivariate affine GARCH(1,1) with Normal Inverse Gaussian innovations.
result Substantial wealth-equivalent utility losses from ignoring correlation and tail risk.
This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener--Hopf factorization, we derive expressions for the analytically extended characteristic function of the supremum and the infimum of a Lév…
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion modelmath.NA
The paper efficiently solves a complex option valuation equation for two assets.
problem Valuation of European options under a two-asset Kou jump-diffusion model.
method Extends an efficient algorithm for a one-dimensional integral to a two-dimensional one, using operator splitting schemes for time discretization.
result The method achieves optimal computational cost and stable convergence for various operator splitting schemes.
Maximizing trading volume in online learning framework between traders.
problem Maximizing the total number of trades between traders with unknown valuations.
method Developed algorithms for brokers to maximize trading volume under different feedback scenarios.
result Achieved logarithmic and poly-logarithmic regret rates for different feedback models.
Brokerage algorithm learns from context to minimize trading regret.
problem Minimizing trading regret in a sequential brokerage problem.
method Design of algorithms with optimal theoretical regret guarantees.
result Optimal theoretical regret guarantees under various assumptions.
Study on hedging and valuation of basis risk in incomplete markets with partial information.
problem Hedging and valuation of European and American claims in an incomplete market with correlated assets and partial information.
method Stochastic control and partial information scenario, forward indifference valuation, dual representation, PDE approach.
result Derivation of optimal hedging strategy and forward indifference price representation for claims.
This paper addresses recalibration issues in hedging callable assets, proposing a new risk-adjusted approach.
problem The mismatch between dynamic hedging theory and practice due to daily recalibration.
method Extends HVA model risk approach to callable assets, focusing on recalibration and model risks.
result Model risk reserves adjusted for exercise decisions may significantly exceed basic valuation differences.
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset's future market price. In short, an option has a particular payout that is based on the market price for an asset on a given date in the future. In 1973, Black and Scholes proposed a valuati…
Bitcoin Gold, Litecoin Silver:An Introduction to Cryptocurrency's Valuation and Trading Strategycs.CE
This study compares Bitcoin and Litecoin using cryptocurrency metrics and trading strategies.
problem Valuation and trading strategies for cryptocurrencies.
method Metrics like UTXO, STXO, WAL, CDD, and trading strategies based on PU ratio.
result Bitcoin's superior store-of-value proposition compared to Litecoin validated.
Derives valuations for financial portfolios from securities lending perspective.
problem Valuation of financial portfolios from securities lending perspective.
method Derives valuations under different assumptions and shows a weighting scheme.
result Weighting scheme converges faster to true valuation under certain conditions.
Pricing European Options in Realistic Marketsphysics.soc-ph
We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density conditional on the total variance of the asset's returns when the option expires.…
Cryptocurrencies' value tied to liquidity, not intrinsic, making stability uncertain.
problem Cryptocurrencies lack tangible value, leading to price instability.
method Examined using asset flow equations and experimental markets.
result Cryptocurrency prices are influenced by liquidity, not intrinsic value.
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and "bubbles" in asset prices. The formulas are given via expectations of auxiliary probabilities using the change-of-numeraire technique. Exten…
DVA for Assetsq-fin.PR
The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset whose value depends on the status, or existence, of the firm will have a DVA. We extend (Burgard and Kjaer 2011) to provide a hedging strategy…
Model assesses systemic risk in interconnected financial systems.
problem Systemic risk in interconnected financial systems.
method Balance-sheet consistent valuation model for interbank claims.
result Existence and uniqueness of optimal valuations for all banks.
Researchers find optimal stopping points for assets under non-exponential discounting.
problem Finding optimal stopping points for assets under non-exponential discounting.
method Constructing optimal equilibria for continuous-time stopping problems with specific conditions.
result Optimal equilibria are unique under certain conditions and can be characterized explicitly.
Paper proposes a new method for valuing long-term annuities using real-world probability measure.
problem Valuation of long-term annuities using classical no-arbitrage methods.
method Real-world probability measure valuation, employing numéraire portfolio.
result Real-world valuation leads to lower values than classical approaches.
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause can be priced using the well known unilateral credit/debit valuation adjustment f…
Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processesq-fin.CP
New method uses Hermite polynomials for American option valuation.
problem Valuation of American options with complex jump-diffusion dynamics.
method Hermite polynomial expansions of transition density and early exercise premium.
result Converging approximations to true option prices and exercise boundaries.
Develops a new filtration for asset pricing models.
problem Models of financial asset pricing need to account for information loss.
method Introduces a generalized filtration to represent information loss.
result Validates the new filtration in a binomial asset pricing model.
Exponential Lévy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained, allowing for the direct valuation of multi-asset options on $n \in \z^+$ risky asse…
The study improves stock market valuation using volatility and earnings data.
problem Improving stock market valuation metrics.
method Time series model for asset returns, multivariate kernel density estimation, linear regression.
result The valuation measure is an improvement over Shiller's P/E ratio.
Learning short-option valuation in the presence of rare eventscond-mat.stat-mech
We present a neural-network valuation of financial derivatives in the case of fat-tailed underlying asset returns. A two-layer perceptron is trained on simulated prices taking into account the well-known effect of volatility smile. The prices of the underlier are generated using fractional calculus algorithms, and opti…
Utility indifference valuation for non-smooth payoffs with an application to power derivativesq-fin.PR
We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be priced possibly depends on both. Traded asset prices follow a multivariate Black and Scholes model, while nontraded asset prices evolve as gen…
We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a correlated traded asset to hedge part of their risk. We determine the optimal exercise …
Study examines Trump's crypto influence on markets, revealing conflicts and vulnerabilities.
problem Presidential power and cryptocurrency markets during Trump's second term.
method Mixed-methods approach combining quantitative and qualitative data.
result Political-linked digital assets became a distinct class with systemic vulnerabilities.
Super-efficiency and Stock Market Valuation: Evidence from Listed Banks in China (2006 to 2023)q-fin.PR
Study finds super-efficiency correlates more strongly with stock market valuation than ROA in Chinese banks.
problem Investigating the relationship between bank efficiency and stock market valuation.
method Employed a non-radial, non-oriented slack-based super-efficiency Data Envelopment Analysis (Super-SBM-UND-VRS) model, treating NPLs as undesired output.
result Super-efficiency is more strongly correlated with stock market valuation than ROA, as measured by Tobin's Q.