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Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
BSDE FBSDE Four Step Scheme Asymptotic Expansion Malliavin Derivative Non-linear PDE CVA
2011/7/4
In this work, we have presented a simple analytical approximation scheme for the
generic non-linear FBSDEs. By treating the interested system as the linear decoupled
FBSDE perturbed with non-linear ...
Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution
heavy traffic ruin probability fractional random walk FARIMA process Poisson process
2011/3/23
Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as some FARIMA processe...
On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
numerical approximation construction nonlinear Black-Scholes equations
2010/10/21
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method h...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
Picard approximation of stochastic differential equations and application to LIBOR models
Picard approximation stochastic differential equations application LIBOR models
2010/10/21
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic di...
A New Approximation to the Normal Distribution Quantile Function
Normal Distribution Quantile Function
2010/10/18
We present a new approximation to the normal distribution quantile function. It has a similar form to the approximation of Beasley and Springer [3], providing a maximum absolute error of less than $2...
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Default Risk Modeling the First-Passage Approximation Extended Black-Cox Model
2010/10/18
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentar...
Early exercise boundary for American type of floating strike Asian option and its numerical approximation
option pricing American-style of Asian options early exercise bound-ary limiting behavior close to expiry
2010/11/3
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jørgensen 2000) by including a continuous divi-dend rate q and a general method of ...
A remark on Gatheral's 'most-likely path approximation' of implied volatility
remark on Gatheral's 'most-likely path implied volatility
2010/11/2
We give a rigorous proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we fix the problem of a circular defi...
Variance-covariance based risk allocation in credit portfolios: analytical approximation
Variance-covariance risk allocation nalytical approximation
2010/11/1
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with ...
An Application of Linear Approximation of Almost Ideal Demand System：Data from Erzurum Central District
LA/AIDS food demand analysis elasticity Erzurum
2009/1/14
In this study, a food demand analysis of Erzurum central district was conducted. This study differs from previous ones by the use of current data and a new model. Various elasticities computed in this...
Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
LIBOR models stochastic differential equations L´ evy pro-cesses perturbation Taylor approximation caps, swaptions
2010/11/1
In this article we develop a method for the strong approx-imation of stochastic differential equations (SDEs) driven by L´evy pro-cesses or general semimartingales. The main ingredients of our m...
A finite dimensional approximation for pricing moving average options
pricing moving average
2010/12/13
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimension...
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach
Maximum-Likelihood Estimation Discretely-Sampled Diffusions A Closed-Form Approximation Approach
2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.