Concept

Forward exchange rate

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Its not that I dont care, I just dont care very much: confounding between attribute non-attendance and taste heterogeneity

Amanda Blomberg Stathopoulos

With the growing interest in the topic of attribute non-attendance, there is now widespread use of latent class (LC) structures aimed at capturing such behaviour, across a number of different fields. Specifically, these studies rely on a confirmatory LC mo ...

Springer2013

The chemical dynamics of nanosensors capable of single-molecule detection

Ardemis Anoush Boghossian

Recent advances in nanotechnol. produced the 1st sensor transducers capable of resolving the adsorption and desorption of single mols. Examples include near IR fluorescent single-walled carbon nanotubes that report single-mol. binding via stochastic quench ...

2011

Hedging Electricity Swing Options in Incomplete Markets

Daniel Kuhn, Wolfram Wiesemann

The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

2011

Approximation Algorithms for the Interval Constrained Coloring Problem

We consider the interval constrained coloring problem, which appears in the interpretation of experimental data in biochemistry. Monitoring hydrogen-deuterium exchange rates via mass spectroscopy experiments is a method used to obtain information about pro ...

2011

Pricing and Hedging of CDOs: A Top Down Approach

Damir Filipovic

This paper considers the pricing and hedging of collateralized debt obligations (CDOs). CDOs are complex derivatives on a pool of credits which we choose to analyse in the top down model proposed in Filipovic et al. (Math. Finance, forthcoming, 2009). We r ...

Springer-Verlag New York, Ms Ingrid Cunningham, 175 Fifth Ave, New York, Ny 10010 Usa2010

Variance Risk Premia in Energy Commodities

Anders Trolle

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...

2010

Linearly Adjustable International Portfolios

Daniel Kuhn

We present an approach to multi‐stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solut ...

American Institute of Physics2010

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Trolle

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Angelo Ranaldo

A daily return reversal measure of liquidity is developed and estimated using a new comprehensive ultra-high frequency data set of foreign exchange rates during the financial crisis period of 2007--2008. The measure captures market participants' perception ...

2009

An Extension of ETF Arbitrage to Sector Trading Using ANN

Utkarsh Upadhyay, Ramnik Arora

We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artiﬁcial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...

2009