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Informed Trading in the Stock Market and Option Price Discovery

Publications associées (111)

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Fatigue Characterization of a structural adhesive

During the last decades, adhesives have become more preponderant as serious options to traditional mechanical ways of bonding things together. From airplane engineering to construction the advantages of such technique have pushed the innovation and conduct ...

2020

Product Market Competition and Option Prices

Erwan Morellec

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...

OXFORD UNIV PRESS INC2019

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Kathrin Beatrice Glau

We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows us ...

SIAM PUBLICATIONS2019

Option pricing with orthogonal polynomial expansions

Damir Filipovic, Damien Edouard Ackerer

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

WILEY2019

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

The Advent of the Sharing Culture and its Effect on Product Pricing

Thomas Alois Weber, Maryam Razeghian Jahromi

Empirical observations suggest that consumers' propensity towards sharing varies with culture and the individuals' socio-demographic characteristics. In an economy with overlapping generations of heterogeneous consumers, we study optimal dynamic selling by ...

2019

The Jacobi stochastic volatility model

Damir Filipovic, Damien Edouard Ackerer, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Organic aerosol in the summertime southeastern United States: Components and their link to volatility distribution, oxidation state and hygroscopicity

Athanasios Nenes, Spyros Pandis

The volatility distribution of the organic aerosol (OA) and its sources during the Southern Oxidant and Aerosol Study (SOAS; Centreville, Alabama) was constrained using measurements from an Aerodyne high-resolution time-of-flight aerosol mass spectrometer ...

Copernicus GmbH2018