Risk-neutral Modeling with Affine and Nonaffine Models
نویسندگان
چکیده
منابع مشابه
Risk-neutral Modeling with Affine and Nonaffine Models
Option prices provide a great deal of information regarding the market’s expectations of future asset price dynamics. But, the implied dynamics are under the risk-neutral measure rather than the physical measure under which the price of the underlying asset itself evolves. This article demonstrates new techniques for joint analysis of the physical and risk-neutral models using data from both th...
متن کاملRisk-neutral modelling with affine and non-affine models
Option prices provide a great deal of information regarding the market’s expectations of future asset price dynamics. But, the implied dynamics are under the risk-neutral measure rather than the physical measure under which the price of the underlying asset itself evolves. This paper demonstrates some new techniques for joint analysis of the physical and risk-neutral models using data from both...
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1 This is the written version of the Cattedra Galileana lectures, Scuola Normale Supe-riore, in Pisa, 2002, made possible through the wonderful organizational work of Maurizio Pratelli, to whom I am most grateful. I am also grateful for support for the course offered by the Associazione Amici della Scuola Normale Superiore, who were generously represented by Mr. Carlo Gulminelli.
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We study dense and highly polydisperse emulsions at droplet volume fractions ϕ≥0.65. We apply oscillatory shear and observe droplet motion using confocal microscopy. The presence of droplets with sizes several times the mean size dramatically changes the motion of smaller droplets. Both affine and nonaffine droplet motions are observed, with the more nonaffine motion exhibited by the smaller dr...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2013
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbt009