scholarly journals The Small and Large Time Implied Volatilities in the Minimal Market Model

2011 ◽  
Author(s):  
Eckhard Platen ◽  
Zhi Guo
Keyword(s):  
Large Time ◽  
Market Model ◽  
Minimal Market Model

scholarly journals THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL

2012 ◽  
Vol 15 (08) ◽  
pp. 1250057
Author(s):  
ZHI JUN GUO ◽  
ECKHARD PLATEN
Keyword(s):  
Interest Rates ◽  
Implied Volatility ◽  
Large Time ◽  
Time Limit ◽  
Market Model ◽  
Explicit Formulas ◽  
Time Limits ◽  
Long Run ◽  
Minimal Market Model ◽  
Short Time

This paper derives explicit formulas for both the small and the large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run, even though they are negligible in the short time limit.

CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING

2005 ◽  
Vol 08 (08) ◽  
pp. 1157-1177 ◽  
Author(s):  
DAVID HEATH ◽  
ECKHARD PLATEN
Keyword(s):  
Stochastic Volatility ◽  
Implied Volatility ◽  
Stochastic Volatility Model ◽  
Market Model ◽  
European Options ◽  
Bessel Processes ◽  
Exchange Rate Dynamics ◽  
Volatility Model ◽  
Minimal Market Model ◽  
Implied Volatility Surfaces

This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market for the pricing and hedging of derivatives. Time transformed squared Bessel processes are the basic driving factors of the minimal market model. The time transformation is characterized by a random scaling, which provides for realistic exchange rate dynamics. The pricing of standard European options is studied. In particular, it is shown that the model produces implied volatility surfaces that are typically observed in real markets.

Minimal Market Model

2006 ◽  
pp. 483-511
Author(s):  
Eckhard Platen ◽  
David Heath
Keyword(s):  
Market Model ◽  
Minimal Market Model

PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL

2002 ◽  
Vol 05 (07) ◽  
pp. 757-774 ◽  
Author(s):  
DAVID HEATH ◽  
ECKHARD PLATEN
Keyword(s):  
Term Structure ◽  
Financial Market ◽  
Market Model ◽  
Martingale Measure ◽  
Local Martingale ◽  
Minimal Set ◽  
Benchmark Portfolio ◽  
Strict Local Martingale ◽  
Minimal Market Model ◽  
Standard Risk

The paper presents a financial market model that generates stochastic volatility using a minimal set of factors. These factors, formed by transformations of square root processes, model the dynamics of different denominations of a benchmark portfolio. Benchmarked prices are assumed to be local martingales. Numerical results for the pricing and hedging of basic derivatives on indices are described for the minimal market model. This includes cases where the standard risk neutral pricing methodology fails because of the presence of a strict local martingale measure. However, payoffs can be perfectly hedged using self-financing strategies and a form of arbitrage exists. This is illustrated by hedge simulations. The different term structure of implied volatilities is documented for calls and puts on an index.

Contract institutions in the Russian economy: The sphere of state, municipal, and regulated procurement

2017 ◽  
pp. 93-110 ◽  
Author(s):  
O. Anchishkina
Keyword(s):  
Economic Growth ◽  
Theoretical Model ◽  
Market Structure ◽  
Market Equilibrium ◽  
Statistical Evidence ◽  
Market Model ◽  
Market Behavior ◽  
Database Analysis ◽  
Russian Economy ◽  
Contracting Model

The article synthesizes information on database analysis of state, municipal, and regulated procurement through which Russian contract institutions and the market model are investigated. The inherent uncertainty of quantity indicators on contracting activities and process is identified and explained. The article provides statistical evidence for heterogeneous market structure in state and municipal procurement, and big player’s dominance. A theoretical model for market behavior, noncooperative competition and collusion is proposed, through which the major trends are explained. The intrinsic flaws and failure of the current contracting model are revealed and described. This ineffectiveness is regarded to be not a limitation, but a challenge to be met. If responded to, drivers for economic growth and market equilibrium will be switched on.

DEVELOPMENT OF A SYSTEM FOR ASSESSING THE EFFECTIVENESS OF THE USE OF STATE RESOURCES TO CREATE A NATIONAL INNOVATION SYSTEM AS A FACTOR IN INCREASING THE STATE'S ECONOMIC SECURITY

2020 ◽  
pp. 185-197
Author(s):  
Anatoliy B. Yaroshchuk ◽  
Keyword(s):  
Mixed Model ◽  
System Analysis ◽  
Innovation System ◽  
Developed Countries ◽  
Economic Security ◽  
Innovation Systems ◽  
National Innovation System ◽  
Market Model ◽  
National Innovation Systems ◽  
Public Resources

The article considers the current and future systems for assessing the effectiveness of the use of state resources to create a national innovation system as a factor in improving the economic security of the state, the author develops a methodological approach to assessing the effectiveness of the use of state resources to create a national innovation system. The cyclical development of the world economy in the conditions of globalization is connected, first of all, with the change of technological structures, as well as with the provision of competitiveness for all levels of economic management. In the domestic and foreign economic literature, there is an idea of the national innovation system, which covers all types of economic objects in the country with innovations, increasing their competitiveness, and, thus, the national economy as a whole, and also directly affects the increase in the level of economic security of the country. Most developed countries and many developing countries have already established or are in the process of establishing their national innovation systems, built either on the basis of models already known and tested in other countries, or new, unique models for building innovation systems. The differences between these models of creation of national innovation systems of different countries are, both in the levels of economic objects, which are the basis of innovative breakthrough, and in the degree of use of public resources: "centralized model", based on public resources, or "market model", or a mixed model of "public-private partnership". These issues are the basis for consideration of the presented article. The methodological basis for writing the article was modern scientific research methods, including: dialectical method, method of system analysis, methods of analogy, comparative analysis, expert methods, structural-functional and normative approaches.

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