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Informed Trading in the Stock Market and Option Price Discovery

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MATHICSE Technical Report : Fast computation of the matrix exponential for a Toeplitz matrix

Daniel Kressner, Robert Gerhard Jérôme Luce

The computation of the matrix exponential is a ubiquitous operation in numerical mathematics, and for a general, unstructured n×n matrix it can be computed in O(n3) operations. An interesting problem arises if the input matrix is a Toeplitz matrix, for exa ...

MATHICSE2016

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016

Note on the relation between profile scalelengths and lambda's

Olivier Sauter

The calculation of the inverse scalelengths

R/L_T

R/L_n

may depend on the choice of the radial variable, depending on the definition of the scalelength. The value of

\lambda_T

and

\lambda_n

, as defined in [O. Sauter {\it et al}, Phys. Plasmas {\bf ...

SPC-EPFL2016

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Detecting abnormal trading activities in option markets

Loriano Mancini

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, an ...

Elsevier2015

Protecting Options in Global Markets: Evidence on the Use of Strategic Disclosure

Christopher Tucci, Jana Thiel, Tilo Peters

We examine the impact of globally diverse market operations on a firm’s choice to openly disclose some of its technology. We suggest that this strategic disclosure offers solutions to specific needs in the commercialization strategy of globally operating f ...

2015

SigCO: Mining Significant Correlations via a Distributed Real-time Computation Engine

Karl Aberer, Jean Paul Calbimonte Perez, Tian Guo, Hao Zhuang

The dramatic rise of time-series data produced in a variety of contexts, such as stock markets, mobile sensing, sensor networks, data centre monitoring, etc., has fuelled the development of large-scale distributed real-time computation systems (e.g., Apach ...

2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

Efficient Pricing of Energy Derivatives

Anders Trolle

I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...

Palgrave Macmillan US2014