oalib
Search Results: 1 - 10 of 100 matches for " "
All listed articles are free for downloading (OA Articles)
Page 1 /100
Display every page Item
Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models  [PDF]
Patricia Kisbye, Karem Meier
Journal of Mathematical Finance (JMF) , 2017, DOI: 10.4236/jmf.2017.74050
Abstract: Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In this work we study the evolution of the forward curve process for each of these models assuming that the initial curve is of Nelson-Siegel type. We conclude that the forward curve process produces curves belonging to a parametric family of curves that can be seen as extended Nelson and Siegel curves. We show that the forward rate curve evolution has a linear or an exponential growth, depending on the particular short rate interest model. We applied the results to Argentinian short and forward rates obtained from the Lebac’s bills yields using the Hull and White short rate model, showing a good estimation of the observed forward rate curve for near dates when the initial forward curve is adjusted with a Nelson and Siegel one.
A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility  [PDF]
Elisa Alòs,Jorge A. León,Monique Pontier,Josep Vives
International Journal of Stochastic Analysis , 2008, DOI: 10.1155/2008/359142
Abstract: We obtain a Hull and White type formula for a general jump-diffusion stochastic volatility model, where the involved stochastic volatility process is correlated not only with the Brownian motion driving the asset price but also with the asset price jumps. Towards this end, we establish an anticipative Itô's formula, using Malliavin calculus techniques for Lévy processes on the canonical space. As an application, we show that the dependence of the volatility process on the asset price jumps has no effect on the short-time behavior of the at-the-money implied volatility skew.
Numerical approximations for Heston-Hull-White type models  [PDF]
M. Briani,L. Caramellino,A. Zanette
Quantitative Finance , 2015,
Abstract: We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed methods
ADI finite difference schemes for the Heston-Hull-White PDE  [PDF]
Tinne Haentjens,Karel J. in 't Hout
Mathematics , 2011,
Abstract: In this paper we investigate the effectiveness of Alternating Direction Implicit (ADI) time discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial differential equation, which is semidiscretized by applying finite difference schemes on nonuniform spatial grids. We consider the Heston-Hull-White model with arbitrary correlation factors, with time-dependent mean-reversion levels, with short and long maturities, for cases where the Feller condition is satisfied and for cases where it is not. In addition, both European-style call options and up-and-out call options are considered. It is shown through extensive tests that ADI schemes, with a proper choice of their parameters, perform very well in all situations - in terms of stability, accuracy and efficiency.
A note on bounds for the cop number using tree decompositions  [PDF]
Anthony Bonato,N. E. Clarke,S. Finbow,S. Fitzpatrick,M. E. Messinger
Computer Science , 2013,
Abstract: In this short note, we supply a new upper bound on the cop number in terms of tree decompositions. Our results in some cases extend a previously derived bound on the cop number using treewidth.
Efficient swaptions price in Hull-White one factor model  [PDF]
Marc Henrard
Quantitative Finance , 2009,
Abstract: The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient pricing formula for simple instruments. Such a formula is proposed here for European swaption. Based on a very efficient corrector type approximation the approximation is efficient both in term of precision and in term of spped. In our implementation the approximation is more than ten time faster than the direct pricing formula and more than twenty time faster than the Jamshidian trick.
A short note on short pants  [PDF]
Hugo Parlier
Mathematics , 2013,
Abstract: It is a theorem of Bers that any closed hyperbolic surface admits a pants decomposition consisting of curves of bounded length where the bound only depends on the topology of the surface. The question of the quantification of the optimal constants has been well studied and the best upper bounds to date are linear in genus, a theorem of Buser and Sepp\"al\"a. The goal of this note is to give a short proof of an linear upper bound which slightly improves the best known bounds.
Intake and Digestibility of Tree Fodders by White Tailed Deer (Odocoileus virginianus yucatanensis)
E. Lopez-Coba,C.A. Sandoval-Castro,R.C. Montes-Perez
Journal of Animal and Veterinary Advances , 2012,
Abstract: Intake and preference of white tailed deer (Odocoileus virginianus yucatanensis) towards four forage trees was assessed via cafeteria and intake trials. Four deer males (43±1.6 kg LW) and four tree fodders Brosimun alicastrum, Leucaena leucocephala, Bursera simaruba and Guazuma ulmifolia were used. B. alicastrum was the most preferred tree (p<0.0001) followed by L. leucocephala, G.ulmifolia and B. simaruba which were eaten in similar amounts. Digestibility was 60 and 61% for G. ulmifolia and B. alicastrum and 80 and 81% for B. simaruba and L. leucocephala. Short term preference of tree fodders was associated with their lignin content (p<0.05). It was concluded that white tailed deer tree fodder preference seems to be associated to fibrous material content and not with tannins. Brosimun alicastrum had the highest intake and DDM intake of the four forages evaluated.
Note on the group of automorphisms of the Spectral Ball  [PDF]
Lukasz Kosinski
Mathematics , 2010,
Abstract: It is shown in this short note that the conjecture on the description of the group of automorphism of the spectral ball posed by Ransford and White is false.
Some Explicit Formulae for the Hull and White Stochastic Volatility Model  [PDF]
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli
International Journal of Modern Nonlinear Theory and Application (IJMNTA) , 2013, DOI: 10.4236/ijmnta.2013.21003
Abstract:

An explicit formula for the transition probability density function of the Hull and White stochastic volatility model in presence of nonzero correlation between the stochastic differentials of the Wiener processes on the right hand side of the model equations is presented. This formula gives the transition probability density function as a two dimensional integral of an explicitly known integrand. Previously an explicit formula for this probability density function was known only in the case of zero correlation. In the case of nonzero correlation from the formula for the transition probability density function we deduce formulae (expressed by integrals) for the price of European call and put options and closed form formulae (that do not involve integrals) for the moments of the asset price logarithm. These formulae are based on recent results on the Whittaker functions [1] and generalize similar formulae for the SABR and multiscale SABR models [2]. Using the option pricing formulae derived and the least squares method a calibration problem for the Hull and White model is formulated and solved numerically. The calibration problem uses as data a set of option prices. Experiments with real data are presented. The real data studied are those belonging to a time series of the USA S&P 500 index and of the prices of its European call and put options. The quality of the model and of the calibration procedure is established comparing the forecast option prices obtained using the calibrated model with the option prices actually observed in the financial market. The website: http://www.econ.univpm.it/recchioni/finance/w17 contains some auxiliary material including animations and interactive applications that helps the understanding of this paper. More general references to the work of the authors and of their coauthors in mathematical finance are available in the website: http

Page 1 /100
Display every page Item


Home
Copyright © 2008-2017 Open Access Library. All rights reserved.