The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments

Ellersgaard, Simon; Jönsson, Martin; Poulsen, Rolf

doi:10.1080/14697688.2016.1222078

Cited by 9 publications

(8 citation statements)

References 13 publications

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“…Hukuman dan penghargaan yang tidak simetris berupa tidak adanya penghargaan jika dari transaksi lindung nilai menghasilkan laba. Namun, jika transaksi lindung nilai menghasilkan kerugian, pemegang saham akan mempersalahkan manajemen karena telah menggunakan instrumen derivatif (Ellersgaard, Jönsson & Poulsen, 2017;Fong & Han, 2015;Olgun & Yetkiner, 2011). Kemun culan akun "kerugian dari instrumen derivatif" dalam laporan keuangan juga dapat menimbulkan pertanyaan bagi banyak pihak.…”

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Berbahayakah Instrumen Derivatif Dalam Konteks Akuntansi?

Mahardika

2018

jamal

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Berbahayakah Instrumen Derivatif dalam Konteks Akun tansi? Penelitian ini berusaha untuk memperoleh gambaran yang objektif terkait penggunaan instrumen derivatif sebagai alat lindung nilai. Metode deskriptif kualitatif dgunakan melalui analisis beragam peraturan. Penelitian ini menunjukkan bahwa peraturan lembaga pengawas memungkinkan instrumen derivatif digunakan sebagai alat lindung nilai dan spekulasi. Selain itu, peraturan akuntansi telah mengakui prinsip saling mengkompensasi sehingga instrumen derivatif dapat dimanfaatkan sebagai alat manajemen risiko untuk menurunkan dampak fluktuasi harga. Guna memperkecil dampak negatif dari penggunaan instrumen derivatif, lembaga pengawas telah memberikan batasan harga.

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Berbahayakah Instrumen Derivatif Dalam Konteks Akuntansi?

Mahardika

2018

jamal

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“…We highlight the conditions needed for a single slice of the volatility surface as T is fixed in our environment. How arbitrage-free curve volatility conditions are developed is not an easy task: see the extended accounts in [32,[84][85][86][87][88].…”

Section: Arbitrage Boundsmentioning

confidence: 99%

Learning agents in Black–Scholes financial markets

2020

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Black–Scholes (BS) is a remarkable quotation model for European option pricing in financial markets. Option prices are calculated using an analytical formula whose main inputs are strike (at which price to exercise) and volatility. The BS framework assumes that volatility remains constant across all strikes; however, in practice, it varies. How do traders come to learn these parameters? We introduce natural agent-based models, in which traders update their beliefs about the true implied volatility based on the opinions of other agents. We prove exponentially fast convergence of these opinion dynamics, using techniques from control theory and leader-follower models, thus providing a resolution between theory and market practices. We allow for two different models, one with feedback and one with an unknown leader.

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“…It is worth mentioning recent lines of mathematical finance such as Armstrong, Bellani, Brigo, & Cass (2018) and Brigo (2019), which also place focus on probability-free frameworks, but these articles address more general questions than here, relating to pricing and hedging in the absence of such a measure, and depend upon rough path theory. Although we all target probability-free interpretations of existing results (for example Ellersgaard, Jönsson, & Poulsen (2017) in their case) and derivations of new ones, the underlying mathematics is ultimately very different.…”

Section: Related Literaturementioning

confidence: 99%

On spatially irregular ordinary differential equations and a pathwise volatility modelling framework

McCrickerd

2019

Preprint

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Motivated by successes of fast reverting volatility models, and the implicit dependence of 'rough' processes on infinitesimal reversionary timescales, we establish a pathwise volatility framework which leads to a complete understanding of volatility trajectories' behaviour in the limit of infinitely-fast reversion. Towards this, we first establish processes that are weakly equivalent to Cox-Ingersoll-Ross (CIR) processes, but in contrast prove well-defined without reference to a probability measure. This provides an unusual example of Skorokhod's representation theorem. In particular, we become able to generalise Heston's model of volatility to an arbitrary degree, by sampling drivers ω under any probability measure; a rough one if so desired.Our main analysis relates to separable initial-value problems (IVPs) of typewith ω only assumed continuous (not Lipschitz, nor Hölder), solutions of which ϕ correspond to time-averages of volatility trajectories ϕ . Such solutions are shown to exist, be unique and bijective for any ω, essentially placing no constraints on corresponding volatility trajectories, except for their non-negativity. After bounding these solutions in time, we prove a rare type of convergence result, towards càdlàg exit-time limits, on Skorokhod's M1 topology. One immediate corollary of this limiting result is a weak connection between the time-averaged CIR process and the inverse-Gaussian Lévy subordinator.

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The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments

Cited by 9 publications

References 13 publications

Berbahayakah Instrumen Derivatif Dalam Konteks Akuntansi?

Berbahayakah Instrumen Derivatif Dalam Konteks Akuntansi?

Learning agents in Black–Scholes financial markets

On spatially irregular ordinary differential equations and a pathwise volatility modelling framework

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