Search Results for author:
Found 19 papers, 10 papers with code
Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
This study proposes a new exact simulation scheme of the Ornstein-Uhlenbeck driven stochastic volatility model.
FRC-GIF: Frame Ranking-based Personalized Artistic Media Generation Method for Resource Constrained Devices
Generating video highlights in the form of animated graphics interchange formats (GIFs) has significantly simplified the process of video browsing.
Tighter 'Uniform Bounds for Black-Scholes Implied Volatility' and the applications to root-finding
This note improves the lower and upper bounds of the Black-Scholes implied volatility (IV) in Tehranchi (SIAM J.
Information extraction and artwork pricing
Traditional art pricing models often lack fine measurements of painting content.
CRAFT: Criticality-Aware Fault-Tolerance Enhancement Techniques for Emerging Memories-Based Deep Neural Networks
A stuck-at cell can be read but not reprogrammed, thus, stuck-at faults in NVMs may or may not result in errors depending on the data to be stored.
Simulation schemes for the Heston model with Poisson conditioning
Exact simulation schemes under the Heston stochastic volatility model (e. g., Broadie-Kaya and Glasserman-Kim) suffer from computationally expensive modified Bessel function evaluations.
Option pricing under the normal SABR model with Gaussian quadratures
The stochastic-alpha-beta-rho (SABR) model has been widely adopted in options trading.
Client-driven Lightweight Method to Generate Artistic Media for Feature-length Sports Videos
This paper proposes a lightweight methodology to attract users and increase views of videos through personalized artistic media i. e., static thumbnails and animated Graphics Interchange Format (GIF) images.
Improved iterative methods for solving risk parity portfolio
Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation method.
LTC-GIF: Attracting More Clicks on Feature-length Sports Videos
This paper proposes a lightweight method to attract users and increase views of the video by presenting personalized artistic media -- i. e, static thumbnails and animated GIFs.
The financial value of the within-government political network: Evidence from Chinese municipal corporate bonds
This paper examines the effect of the political network of Chinese municipal leaders on the pricing of municipal corporate bonds.
A Black-Scholes user's guide to the Bachelier model
To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges temporarily switched the option model from Black--Scholes to Bachelier in 2020.
Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach
The literature on using yield curves to forecast recessions customarily uses 10-year--three-month Treasury yield spread without verification on the pair selection.
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Our approach effectively reduces the approximation error in a way similar to the control variate method because the CEV model is the zero vol-of-vol limit of the SABR model.
Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options
The least square Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing American options.
Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
Using the quadrature, the generalized hyperbolic distribution is efficiently approximated as a finite normal variance-mean mixture.
Computation Computational Finance Pricing of Securities
Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) models, such as the basket, spread, and Asian options.
Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
We provide an accurate approximation method for inverting an option price to the implied volatility under arithmetic Brownian motion, which is widely quoted in Fixed Income markets.
