Implied liquidity: Model sensitivity
نویسندگان
چکیده
منابع مشابه
An Implied Loss Model
In this paper we present a model which is, by construction, consistent with observed market quotes for standard CDO tranches. The model is closely related to implied tree methods which can be used for valuing exotic equity derivatives consistent with observed market quotes for vanilla European call and put options. Rather than modelling default events for each name in the basket, the total bask...
متن کاملMarkov Chain Portfolio Liquidity Model
The international financial crisis of September 2008 and May 2010 showed the importance of liquidity as an attribute to be considered in portfolio decisions. This study proposes an optimization model based on available public data, using Maarkov chain and Genetic Algorithms concepts as it considers the classic duality of risk versus return and incorporating liquidity costs. The non-linear model...
متن کاملImplied and Realized Volatility: Empirical Model Selection
The paper studies the nonparametric connection between realized and implied volatilities. No-arbitrage identities and comparison inequalities are found. We formulate the multi-factor trading system on the volatility scale. To empirically determine the number of factors, we develop a high frequency analysis for sequential F-testing. We also design a cross validated estimate of quadratic variation.
متن کاملA Market Model for Stochastic Implied Volatility
In this paper a stochastic volatility model is presented that directly prescribes the stochastic development of the implied Black-Scholes volatilities of a set of given standard options. Thus the model is able to capture the stochastic movements of a full term structure of implied volatilities. The conditions are derived that have to be satisfied to ensure absence of arbitrage in the model and ...
متن کاملVolatility derivatives and model-free implied leverage
We revisit robust replication theory of volatility derivatives and introduce a broader class which may be considered as the second generation of volatility derivatives. One of them is a swap contract on the quadratic covariation between an asset price and the model-free implied variance (MFIV) of the asset. It can be replicated in a model-free manner and its fair strike may be interpreted as a ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2013
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2013.05.003