scholarly journals Jump Telegraph Processes and Financial Markets with Memory

2007 ◽  
Vol 2007 ◽  
pp. 1-19 ◽  
Author(s):  
Nikita Ratanov
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Financial Market ◽  
Stock Prices ◽  
Call Option ◽  
Market Models ◽  
New Class ◽  
Risk Neutral ◽  
The Interest Rate ◽  
With Memory

The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model has some features of models with memory, but it is more simple.

scholarly journals Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

2021 ◽  
Vol 4 (2) ◽  
pp. 871-877
Author(s):  
Rahmat Dewa Bagas Nugraha ◽  
H.M Nursito
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Quantitative Study ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Ratio Analysis ◽  
The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS

2005 ◽  
Vol 08 (06) ◽  
pp. 693-716 ◽  
Author(s):  
AXEL GRORUD ◽  
MONIQUE PONTIER
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Financial Market ◽  
Asset Prices ◽  
Optimization Problem ◽  
Statistical Tests ◽  
Market Model ◽  
Financial Model ◽  
Additional Information ◽  
The Interest Rate

We develop a financial model with an "influential informed" investor who has an additional information and influences asset prices by means of his strategy. The prices dynamics are supposed to be driven by a Brownian motion, the informed investor's strategies affect the risky asset trends and the interest rate. Our paper could be seen as an extension of Cuoco and Cvitanic's work [4] since, as these authors, we solve the informed influential investor's optimization problem. But our main result is the construction of statistical tests to detect if, observing asset prices and agent's strategies, this influential agent is or not an informed trader.

A class of complete benchmark models with intensity-based jumps

2004 ◽  
Vol 41 (1) ◽  
pp. 19-34 ◽  
Author(s):  
Eckhard Platen
Keyword(s):  
Probability Measure ◽  
Financial Market ◽  
Real World ◽  
Present Value ◽  
Market Models ◽  
Growth Optimal Portfolio ◽  
Conditional Expectations ◽  
Risk Neutral ◽  
Security Price ◽  
Value Pricing

This paper proposes a class of complete financial market models, the benchmark models, with security price processes that exhibit intensity-based jumps. The benchmark or reference unit is chosen to be the growth-optimal portfolio. Primary security account prices, when expressed in units of the benchmark, turn out to be local martingales. In the proposed framework an equivalent risk-neutral measure need not exist. Benchmarked fair derivative prices are obtained as conditional expectations of future benchmarked prices under the real-world probability measure. This concept of fair pricing generalizes the classical risk-neutral approach and the actuarial present-value pricing methodology.

scholarly journals Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate

2020 ◽  
Vol 2020 ◽  
pp. 1-8
Author(s):  
Zhaopeng Liu
Keyword(s):  
Interest Rate ◽  
Option Pricing ◽  
Financial Market ◽  
American Option Pricing ◽  
European Option ◽  
Numerical Examples ◽  
Mathematical Properties ◽  
Proposed Model ◽  
Stock Model ◽  
The Interest Rate

Options play a very important role in the financial market, and option pricing has become one of the focus issues discussed by the scholars. This paper proposes a new uncertain mean-reverting stock model with floating interest rate, where the interest rate is assumed to be the uncertain Cox-Ingersoll-Ross (CIR) model. The European option and American option pricing formulas are derived via the α -path method. In addition, some mathematical properties of the uncertain option pricing formulas are discussed. Subsequently, several numerical examples are given to illustrate the effectiveness of the proposed model.

scholarly journals Каматна стопа као случајна промјенљива – могући одговор на промјенљивост финансијских тржишта // The interest rate as a stochastic variable – possible answer to financial markets volatility

2012 ◽  
Vol 10 (16) ◽  
pp. 319
Author(s):  
Бојан Башкот
Keyword(s):  
Interest Rate ◽  
Continuous Function ◽  
Financial Markets ◽  
Capital Cost ◽  
Stochastic Variable ◽  
Adequate Evaluation ◽  
The Interest Rate

Резиме: У овом раду презентована је каматнa стопа у условима конзистентног тржишта, односно функција камате је одређена како непрекидна функција, што омогућава да се каматна стопа посматра као случајна промјенљива. У том контексту презентована је Студлијева формула (Stoodley) као могућност адекватног вредновања цијене капитала у условима конзистентног тржишта.Summary: This paper presents the interest rate in terms of consistent market, i.e. function of interest is defined as a continuous function which further allows to view the interest rate as a stochastic variable. In this context Stoodley`s formula is presented as a possibility of adequate evaluation of capital cost in terms of consistent market.

scholarly journals Pengaruh Suku Bunga, PER, dan PBV Terhadap Harga Saham Perusahaan Sub Sektor Konstruksi Bangunan

2021 ◽  
Vol 4 (2) ◽  
pp. 706-711
Author(s):  
Rosa Arbaningrum ◽  
Asep Muslihat
Keyword(s):  
Interest Rate ◽  
Stock Prices ◽  
Stock Price ◽  
Descriptive Analysis ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Share Price ◽  
Result Show ◽  
The Interest Rate ◽  
Test Result

The study aims to determine how much influence of interest rate, PER, and PBV have on stock prices. The method used is descriptive verification with a quantitative approaches. Data were analyzed using multiple linear regression analysis. Based on the results of a descriptive analysis of the highest interest rate occurred in 2014-2015 while the lowest interest rate in the 2017. There are 5 building construction sub-sector companies that have PER industry average, while 4 other companies have PER above industry average. Furthermore, there are 4 companies that have the value of PBV below the industry average and 5 companies have PBV above the industry average. Then, there are 5 companies that have a share price above the industry average and 4 companies have the stock price below the industry average. Based on the result of verificative analysis that interest rate variable has no signification effect on stock price, while PER variable has no signification effect on stock price and PBV variable has signification effect on stock price. R square test result show that the interest rate, PER, and PBV has effect of 29,3% against the stock price so that remaining 71,7% is affected by other variables that are not researched. Keywords: Interest Rate; PER; PBV; Stock Price.  

scholarly journals Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

2006 ◽  
Vol 36 (01) ◽  
pp. 79-120 ◽  
Author(s):  
Andrew J.G. Cairns ◽  
David Blake ◽  
Kevin Dowd
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Mortality Risk ◽  
Mortality Factors ◽  
Market Models ◽  
Force Of Mortality ◽  
Mortality Models ◽  
The Interest Rate ◽  
Risk Free Rate ◽  
Longevity Bonds

It is now widely accepted that stochastic mortality – the risk that aggregate mortality might differ from that anticipated – is an important risk factor in both life insurance and pensions. As such it affects how fair values, premium rates, and risk reserves are calculated.This paper makes use of the similarities between the force of mortality and interest rates to examine how we might model mortality risks and price mortality-related instruments using adaptations of the arbitrage-free pricing frameworks that have been developed for interest-rate derivatives. In so doing, the paper pulls together a range of arbitrage-free (or risk-neutral) frameworks for pricing and hedging mortality risk that allow for both interest and mortality factors to be stochastic. The different frameworks that we describe – short-rate models, forward-mortality models, positive-mortality models and mortality market models – are all based on positive-interest-rate modelling frameworks since the force of mortality can be treated in a similar way to the short-term risk-free rate of interest. While much of this paper is a review of the possible frameworks, the key new development is the introduction of mortality market models equivalent to the LIBOR and swap market models in the interest-rate literature.These frameworks can be applied to a great variety of mortality-related instruments, from vanilla longevity bonds to exotic mortality derivatives.

Valuation of interest rate ceiling and floor based on the uncertain fractional differential equation in Caputo sense

2020 ◽  
pp. 1-10
Author(s):  
Ting Jin ◽  
Hui Ding ◽  
Bo Li ◽  
Hongxuan Xia ◽  
Chenxi Xue
Keyword(s):  
Interest Rate ◽  
Financial Market ◽  
Supply And Demand ◽  
Dynamic Change ◽  
Asset Price ◽  
Interest Rate Risk ◽  
Proposed Model ◽  
The Interest Rate ◽  
The Right ◽  
Predictor Corrector

As an economic lever in financial market, interest rate option is not only the function of facilitating the bank to adjust the market fund supply and demand relation indirectly, but also provides the guarantee for investors to choose whether to exercise the right at the maturity date, thereby locking in the interest rate risk. This paper mainly studies the price of the interest rate ceiling as well as floor under the uncertain environment. Firstly, from the perspective of expert reliability, rather than relying on a large amount of historical financial data, to consider interest rate trends, and further assume that the dynamic change of the interest rate conforms to the uncertain process. Secondly, since uncertain fractional-order differential equations (UFDEs) have non-locality features to reflect memory and hereditary characteristics for the asset price changes, thus is more suitable to model the real financial market. We construct the mean-reverting interest rate model based on the UFDE in Caputo type. Then, the pricing formula of the interest rate ceiling and floor are provided separately. Finally, corresponding numerical examples and algorithms are given by using the predictor-corrector method, which support the validity of the proposed model.

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