EXTREME MARKET MOVEMENTS, RISK AND ASSET MANAGEMENT: GENERALIZATION TO JUMP PROCESSES, STOCHASTIC VOLATILITIES, AND INFORMATION COSTS

Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 17 in Derivatives, Risk Management & Value, 2009, pp 745-769 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionThe Jump-Diffusion and the Constant Elasticity of Variance ModelsThe jump-diffusion modelThe constant elasticity of variance diffusion (CEV) processOn Jumps, Hedging and Information CostsHedging in the presence of jumpsHedging the jumpsJump volatilityOn the Smile Effect and Market Imperfections in the Presence of Jumps and Incomplete InformationOn smiles and jumpsOn smiles, jumps, and incomplete informationEmpirical results in the presence of jumps and incomplete informationImplied Volatility and Option Pricing Models: The Model and Simulation ResultsThe valuation modelSimulation resultsModel calibration and the smile effectSummaryQuestionsReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
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