scholarly journals On the application of Wishart process to the pricing of equity derivatives: the multi-asset case

2019 ◽  
Author(s):  
Gaetano La Bua ◽  
Daniele Marazzina
Keyword(s):  
Equity Derivatives ◽  
Wishart Process

scholarly journals On the application of Wishart process to the pricing of equity derivatives: the multi-asset case

2021 ◽  
Author(s):  
Gaetano La Bua ◽  
Daniele Marazzina
Keyword(s):  
Mathematical Finance ◽  
Calibration Procedure ◽  
Heston Model ◽  
Stochastic Correlation ◽  
Equity Derivatives ◽  
Single Instance ◽  
Asset Volatility ◽  
Wishart Process ◽  
Definition Of ◽  
Joint Behaviour

AbstractGiven the inherent complexity of financial markets, a wide area of research in the field of mathematical finance is devoted to develop accurate models for the pricing of contingent claims. Focusing on the stochastic volatility approach (i.e. we assume to describe asset volatility as an additional stochastic process), it appears desirable to introduce reliable dynamics in order to take into account the presence of several assets involved in the definition of multi-asset payoffs. In this article we deal with the multi asset Wishart Affine Stochastic Correlation model, that makes use of Wishart process to describe the stochastic variance covariance matrix of assets return. The resulting parametrization turns out to be a genuine multi-asset extension of the Heston model: each asset is exactly described by a single instance of the Heston dynamics while the joint behaviour is enriched by cross-assets and cross-variances stochastic correlation, all wrapped in an affine modeling. In this framework, we propose a fast and accurate calibration procedure, and two Monte Carlo simulation schemes.

Taxation of Equity Derivatives and Structured Products

2003 ◽  
Author(s):  
Tony Rumble ◽  
Mohammed Amin ◽  
Edward D Kleinbard
Keyword(s):  
Structured Products ◽  
Equity Derivatives

New 871(m) Regulations Finalize Dividend Equivalent Payment Withholding Rules for Equity Derivatives

2015 ◽  
Author(s):  
David S. Miller ◽  
Jason Schwartz
Keyword(s):  
Equity Derivatives

The Policy Risk Premium in Equity Derivatives

2019 ◽  
Author(s):  
Giovanni Gabriele Vecchio
Keyword(s):  
Risk Premium ◽  
Equity Derivatives ◽  
Policy Risk

scholarly journals The Laplace transform of the integrated Volterra Wishart process

2021 ◽  
Author(s):  
Eduardo Abi Jaber
Keyword(s):  
Laplace Transform ◽  
The Laplace Transform ◽  
Wishart Process

scholarly journals The Explicit Laplace Transform for the Wishart Process

2014 ◽  
Vol 51 (3) ◽  
pp. 640-656 ◽  
Author(s):  
Alessandro Gnoatto ◽  
Martino Grasselli
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Laplace Transform ◽  
Explicit Formula ◽  
Time Integral ◽  
Variation Of Constants ◽  
The Matrix ◽  
Wishart Process ◽  
New Formula ◽  
Original Approach

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral, which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.

Equity Derivatives and Hybrids

2016 ◽  
Author(s):  
Oliver Brockhaus
Keyword(s):  
Equity Derivatives

Extracting Convenience Yield Free Short-Term Interest Rates from Equity Derivatives

2021 ◽  
Author(s):  
Uwe Geck ◽  
Christoph Kaserer
Keyword(s):  
Interest Rates ◽  
Convenience Yield ◽  
Short Term ◽  
Equity Derivatives

Pricing Equity Derivatives under Stochastic Rates

2001 ◽  
pp. 453-465 ◽  
Author(s):  
Damiano Brigo ◽  
Fabio Mercurio
Keyword(s):  
Equity Derivatives
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