arXiv research

Approximates call option prices for Barndorff-Nielsen and Shephard model.

CAT(0) properties extended to a class of Shephard groups.

Extends Alòs' formula to Barndorff-Nielsen and Shephard model.

Disproves Fedotov's conjecture on higher-order Shephard inequalities.

Develops methods to simulate option prices for a specific stochastic volatility model.

Shephard groups are unitary reflection groups arising as the symmetries of regular complex polytopes. For a Shephard group, we identify the representation carried by the principal ideal in the coinvariant algebra generated by the image of the product of all linear forms defining reflecting hyperplanes. This representat…

Approximates option prices in Barndorff-Nielsen and Shephard models using Taylor expansion.

We obtain explicit representations of locally risk-minimizing strategies of call and put options for the Barndorff-Nielsen and Shephard models, which are Ornstein--Uhlenbeck-type stochastic volatility models. Using Malliavin calculus for Levy processes, Arai and Suzuki (2015) obtained a formula for locally risk-minimiz…

We derive representations of local risk-minimization of call and put options for Barndorff-Nielsen and Shephard models: jump type stochastic volatility models whose squared volatility process is given by a non-Gaussian rnstein-Uhlenbeck process. The general form of Barndorff-Nielsen and Shephard models includes two par…

The paper prices swaps on generalized variance measures for multiple assets.

Deep learning improves option pricing for a non-martingale asset model.

The VIX call options for the Barndorff-Nielsen and Shephard models will be discussed. Derivatives written on the VIX, which is the most popular volatility measurement, have been traded actively very much. In this paper, we give representations of the VIX call option price for the Barndorff-Nielsen and Shephard models: …

Analyzes first exit times in a modified Barndorff-Nielsen and Shephard model.

Refined BN-S model improves crude oil hedging with machine learning.

Improved stock index analysis using fuzzy parameters and machine learning.

Develops a numerical method for LRM strategies in BNS models with infinite active jumps.

We compute and discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class of structure preserving martingale measures, and the minimum entropy martingale measure for stochastic volatility models of Ornstein-Uhlenbe…

The paper presents a method for detecting jump sizes in crude oil prices.

A commonly used stochastic model for derivative and commodity market analysis is the Barndorff-Nielsen and Shephard (BN-S) model. Though this model is very efficient and analytically tractable, it suffers from the absence of long range dependence and many other issues. For this paper, the analysis is restricted to crud…

We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of unobservable instantaneous variance. We develop an explicit estimator based on marting…

We present a universal construction of almost duality for Frobenius manifolds. The analytic setup of this construction is described in details for the case of semisimple Frobenius manifolds. We illustrate the general considerations by examples from the singularity theory, mirror symmetry, the theory of Coxeter groups a…

The paper extends group constructions to coset geometries, creating new ways to combine geometries.

We provide a simple explicit estimator for discretely observed Barndorff-Nielsen and Shephard models, prove rigorously consistency and asymptotic normality based on the single assumption that all moments of the stationary distribution of the variance process are finite, and give explicit expressions for the asymptotic …

The paper shows robustness of Hilbert space-valued stochastic volatility models to perturbations.

In this paper, we study the valuation of American type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001). We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condi…

This paper models CSI 300 index volatility using machine learning and addresses jump prediction.

Ehrenborg and Jung recently related the order complex for the lattice of d-divisible partitions with the simplicial complex of pointed ordered set partitions via a homotopy equivalence. The latter has top homology naturally identified as a Specht module. Their work unifies that of Calderbank, Hanlon, Robinson, and Wach…

We determine the minimal entropy martingale measure for a general class of stochastic volatility models where both price process and volatility process contain jump terms which are correlated. This generalizes previous studies which have treated either the geometric Lévy case or continuous price processes with an ortho…

The paper introduces a new stochastic volatility model with long-term memory and jumps.

We prove that for any affine variety S defined over Q there exist Shephard and Artin groups G such that a Zariski open subset U of S is biregular isomorphic to a Zariski open subset of the character variety Hom(G, PO(3))//PO(3). The subset U contains all real points of S . As an application we construct new examples of…

A derivation of the Cesàro-Fedorov relation from the Selberg trace formula on an orbifolded 2-sphere is elaborated and extended to higher dimensions using the known heat-kernel coefficients for manifolds with piecewise-linear boundaries. Several results are obtained that relate the coefficients, $b_i$, in the Shephard-…

The paper is on the vanishing topology of singular Milnor fibres of holomorphic families of arbitrary square, symmetric and skew-symmetric matrices with sufficiently many parameters. We define vanishing cycles on such fibres, prove an extended form of the Damon-Pike $μ=τ$ conjecture about the families of a special type…

In a series of recent papers Barndorff-Nielsen and Shephard introduce an attractive class of continuous time stochastic volatility models for financial assets where the volatility processes are functions of positive Ornstein-Uhlenbeck(OU) processes. This models are known to be substantially more flexible than Gaussian …

Kramkov and Sirbu (2006, 2007) have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving a mean-variance hedging problem under a specific equivalent martingale measure and relative to a suitable numeraire. In order to avoid the introduction of an addition…

New model predicts dynamic volatility in uncertain financial markets.

We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [2003]. First we obtain conditions for the price process to be conservative and a martingale. Then we present some results o…

We show that bi-flat $F$-manifolds can be interpreted as natural geometrical structures encoding the almost duality for Frobenius manifolds without metric. Using this framework, we extend Dubrovin's duality between orbit spaces of Coxeter groups and Veselov's $\vee$-systems, to the orbit spaces of exceptional well-gene…

In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by stochastic volatility models (SVMs). Many SVMs assume that errors in log-return and latent volatility process are uncorrelated, which is unrealistic. It turns out that if a non-zero correlation is included in …

Two new models for volatility in Markov-switching environments capture financial time-series properties.

Develops a novel framework for pricing variance swaps in multi-asset stochastic volatility models.

Study pricing options on forward contracts using infinite-dimensional affine models.

Recently Carr and Wu (2004, 2005) and also Huang and Wu (2004) show that most stochastic processes used in traditional option pricing models can be cast as special cases of time-changed Lévy processes. In particular these are models which can be tailored to exhibit correlated jumps in both the log price of assets and t…

For a commodity spot price dynamics given by an Ornstein-Uhlenbeck process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing measures that simultaneously allow for change of level and speed in the mean reversion of both the price and the volatility. The risk premium i…

Let $σ_t(x)$ denote the implied volatility at maturity $t$ for a strike $K=S_0 e^{xt}$, where $x\in\bbR$ and $S_0$ is the current value of the underlying. We show that $σ_t(x)$ has a uniform (in $x$) limit as maturity $t$ tends to infinity, given by the formula $σ_\infty(x)=\sqrt{2}(h^*(x)^{1/2}+(h^*(x)-x)^{1/2})$, for…

DSPM models control noise volatility, improving financial data analysis.