Publications related to Volatility smile

On the size of Satake parameters for unitary cuspidal automorphic representations for GL(4)

Let Pi be a cuspidal automorphic representation for GL(4) over a number field F. We obtain unconditional lower bounds on the number of places at which the Satake parameters are not "too large". In the case of self-dual Pi with non-trivial central character ...

Academic Press Inc Elsevier Science2013

Syllable-based Pitch Encoding for Low Bit Rate Speech Coding with Recognition/Synthesis Architecture

Philip Neil Garner, Milos Cernak

Current HMM-based low bit rate speech coding systems work with phonetic vocoders. Pitch contour coding (on frame or phoneme level) is usually fairly orthogonal to other speech coding parameters. We make an assumption in our work that the speech signal cont ...

Idiap2013

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochasti ...

Columbia Business School2012

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012

Optimal Storage Policies with Wind Forecast Uncertainties

Jean-Yves Le Boudec, Dan-Cristian Tomozei, Nicolas Gabriel Gast

The increase in penetration of wind in the current energy mix is hindered by its high volatility and poor predictability. These shortcomings lead to energy loss and increased deployment of fast ramping generation. The use of energy storage compensates to s ...

2012

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Pierre Collin Dufresne

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...

Wiley-Blackwell2012

Magnetic hourglass dispersion and its relation to high-temperature superconductivity in iron-tuned Fe

Henrik Moodysson Rønnow, Bastien Dalla Piazza, Arash Alahgholipour Omrani, Nikolay Tsyrulin

High-temperature superconductivity remains arguably the greatest enigma of condensed matter physics. The discovery of iron-based high-temperature superconductors [1, 2] has renewed the importance of understanding superconductivity in materials susceptible ...

Institute of Physics (IoP) and Deutsche Physikalische Gesellschaft2012

Affine Processes On Positive Semidefinite Matrices

Damir Filipovic

This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finan ...

Institute of Mathematical Statistics2011

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Volatility smile

On the size of Satake parameters for unitary cuspidal automorphic representations for GL(4)

Syllable-based Pitch Encoding for Low Bit Rate Speech Coding with Recognition/Synthesis Architecture

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Financial Markets Equilibrium with Heterogeneous Agents

Conditional Density Models for Asset Pricing

Optimal Storage Policies with Wind Forecast Uncertainties

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Magnetic hourglass dispersion and its relation to high-temperature superconductivity in iron-tuned Fe

Affine Processes On Positive Semidefinite Matrices

Hedging Electricity Swing Options in Incomplete Markets

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Chat with Graph Search

Syllable-based Pitch Encoding for Low Bit Rate Speech Coding with Recognition/Synthesis Architecture

Financial Markets Equilibrium with Heterogeneous Agents

Optimal Storage Policies with Wind Forecast Uncertainties

Conditional Density Models for Asset Pricing

Magnetic hourglass dispersion and its relation to high-temperature superconductivity in iron-tuned Fe

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Affine Processes On Positive Semidefinite Matrices

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Hedging Electricity Swing Options in Incomplete Markets