Search results

article

Symeon I Wielki – pół Grek? Kilka uwag na temat znaczenia terminu ‘emiargos’ (Liutprand z Kremony, „Antapodosis”, III, 29)

Mirosław Leszka

Balcanica Posnaniensia Acta et studia > 2013 > 20 > 19-24

Byzantines were well aware that Symeon I, Bulgarian sovereign (893–927), was an educated man, deeply rooted in his own culture and not devoid of the knowledge of their world. Such awarness is an undertone of the letters by Nicholas the Mysticus, and was the most emphatically expressed – as the majority of scholars assume – by Liutprand of Cremona. The latter, in his Antapodosis, called Symeon an emiargos,...

article

PoMo, Collage and Citation: Notes Towards an Etiology of Chunkiness

Mario Carpo

Architectural Design > 91 > 1 > 18 - 25

There is an arc of ‘chunkiness’ (collage, montage and assemblage) which runs through much art and architecture, pulling together art practices and eras that at first seem very different from each other. Mario Carpo, Reyner Banham Professor of Architectural Theory and History at the Bartlett, University College London and Professor of Architectural Theory at the University of Applied Arts in Vienna,...

article

Optimal uniform error estimates for moving least‐squares collocation with application to option pricing under jump‐diffusion processes

Mohammad Shirzadi, Mehdi Dehghan, Ali Foroush Bastani

Numerical Methods for Partial Differential Equations > 37 > 1 > 98 - 117

In this study, we derive optimal uniform error bounds for moving least‐squares (MLS) mesh‐free point collocation (also called finite point method) when applied to solve second‐order elliptic partial integro‐differential equations (PIDEs). In the special case of elliptic partial differential equations (PDEs), we show that our estimate improves the results of Cheng and Cheng (Appl. Numer. Math. 58 (2008),...

article

Accelerating CVA and CVA Sensitivities Using Quasi‐Monte Carlo Methods

Stefano Renzitti, Pouya Bastani, Steven Sivorot

Wilmott > 2020 > 108 > 78 - 93

We compare the efficiency of quasi‐Monte Carlo (QMC) methods to classical Monte Carlo (MC) method and MC with antithetic sampling in computing credit valuation adjustment (CVA) and CVA sensitivities for various portfolios of interest rate swaps using a multi‐currency extension to the Hull‐White model. For uncollateralized portfolios using local models, we find that QMC with Sobol' sequences and the...

article

Option pricing with orthogonal polynomial expansions

Damien Ackerer, Damir Filipović

Mathematical Finance > 30 > 1 > 47 - 84

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 option price series expansion performs as efficiently and accurately as the Fourier‐transform‐based method in the nested affine cases. We also derive...

article

Option pricing and the Greeks under Gaussian fuzzy environments

Hong-Ming Chen, Cheng-Feng Hu, Wei-Chang Yeh

Soft Computing > 2019 > 23 > 24 > 13351- 13374

This work considers pricing European call options and the study of Greek letters of options under a fuzzy environment. In the past work, stock prices are usually represented by symmetric triangular fuzzy numbers for the computational convenience while pricing options with uncertainty. It might not be enough to explain the stochastic nature of the underlining price in the option pricing formula. This...

article

Analysis of public discourse on religious minorities in Turkey after the coup attempt of 15th July 2016

Magdalena Szkudlarek

Przegląd Europejski > 2019 > 3(53) > 157-173

The aim of this paper is to follow and analyze the public discourse on religious minorities in Turkey after the failed coup d’état of 15th July 2016. However either Turkish state’s policy or social attitudes towards these groups have always been controversial and their real position has always differed from their legal status, the author decided to put a hypothesis that the coup attempt is indeed...

article

Relacje między ludami zamieszkującymi teren Sycylii w okresie greckiej kolonizacji

Łukasz Siadkowski

Acta Universitatis Lodziensis. Folia Historica > 2018 > 100 > 9-19

Artykuł opisuje relacje panujące między greckimi kolonistami, którzy przybyli w VIII w. przed Chr. na Sycylię, a innymi społecznościami tam już żyjącymi, m.in. autochtonicznymi mieszkańcami wyspy (o ich pochodzeniu szerzej w pierwszej części artykułu). Zostały również przedstawione stosunki greckich kolonistów z ich miastem macierzystym oraz z Kartagińczykami, zamieszkującymi zachodnią część Sycylii...

article

Książka w kulturze Greków w Rzeczypospolitej w XVI–XIX wieku. Rekonesans

Marcin Mikołajczyk

Acta Universitatis Lodziensis. Folia Librorum > 2018 > 1 > 26 > 79-98

Celem artykułu jest zebranie i zasygnalizowanie dotychczasowych informacji na temat książki wśród Greków zamieszkujących Rzeczpospolitą. Na podstawie literatury przedmiotu oraz materiałów archiwalnych przedstawiono działalność Greków w szkole ostrogskiej, Bractwie lwowskim, biblioteki cerkiewne oraz prywatne księgozbiory przedstawicieli nacji greckiej.

article

Computation of the Delta of European options under stochastic volatility models

Yeliz Yolcu-Okur, Tilman Sayer, Bilgi Yilmaz, B. Alper Inkaya

Computational Management Science > 2018 > 15 > 2 > 213-237

We employ Malliavin calculus techniques to compute the Delta of European type options in the presence of stochastic volatility. We obtain a general formula for the Malliavin weight and apply the derived formula to the well known models of Stein-Stein and Heston in order to show the numerical accuracy and efficiency of our approach.

article

On the data-driven COS method

Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohte

Applied Mathematics and Computation > 2018 > 317 > C > 68-84

In this paper, we present the data-driven COS method, ddCOS. It is a Fourier-based financial option valuation method which assumes the availability of asset data samples: a characteristic function of the underlying asset probability density function is not required. As such, the presented technique represents a generalization of the well-known COS method [1]. The convergence of the proposed method...

article

An integral representation of elasticity and sensitivity for stochastic volatility models

Zhenyu Cui, Duy Nguyen, Hyungbin Park

Mathematics and Financial Economics > 2018 > 12 > 2 > 249-274

This paper presents a generic probabilistic approach to study elasticities and sensitivities of financial quantities under stochastic volatility models. We describe the shock elasticity, the quantile sensitivity and the vega value of cash flows with respect to perturbation of the volatility function of the model. The main contribution is to establish explicit formulae for these elasticities and sensitivities...

article

Computation of Greeks in jump-diffusion models using discrete Malliavin calculus

Yoshifumi Muroi, Shintaro Suda

Mathematics and Computers in Simulation > 2017 > 140 > C > 69-93

In the last decade, many studies have investigated the computation of Greeks (sensitivity of options) for European options, American options, exotic options, and so on using Malliavin calculus. Moreover, many studies have derived Greeks using jump-diffusion models. In this paper, we investigate a new computation scheme to derive Greeks in a jump-diffusion model using discrete Malliavin calculus. This...

article

Parameter estimation risk in asset pricing and risk management: A Bayesian approach

Radu Tunaru, Teng Zheng

International Review of Financial Analysis > 2017 > 53 > C > 80-93

Parameter estimation risk is non-trivial in both asset pricing and risk management. We adopt a Bayesian estimation paradigm supported by the Markov Chain Monte Carlo inferential techniques to incorporate parameter estimation risk in financial modelling. In option pricing activities, we find that the Merton's Jump-Diffusion (MJD) model outperforms the Black-Scholes (BS) model both in-sample and out-of-sample...

article

Essentialism in Social Representations of Citizenship: An Analysis of Greeks' and Migrants' Discourse

Irini Kadianaki, Eleni Andreouli

Political Psychology > 38 > 5 > 833 - 848

Following a Social Representations approach, the article examines the representations of citizenship held by both migrants and Greek citizens in Greece after the announcement of a heavily debated citizenship legislation. Essentialism, a way of representing social categories as holding an underlying essence that determines their characteristics, was used as an analytical tool to understand the inclusive...

article

Grecy a języki obce w starożytności

Sylwester Dworacki

Język. Religia. Tożsamość > 2017 > 1(15) > 121-134

The article shows how some of Greek authors from different epochs arranged the problem of the language communication among the Greeks and the non-Greeks. This question emerged gradually, however it appeared perspicuously but in the Hellenistic period, and in time of the Roman Empire. If sometimes this problem was ignored the reason could be that from the time of Alexander the Great the Greek language...

article

Pricing and estimates of Greeks for passport option: A three time level approach

Ankur Kanaujiya, Siddhartha P. Chakrabarty

Journal of Computational and Applied Mathematics > 2017 > 315 > C > 49-64

We consider the problem of pricing the European type passport option (contingent on the balance on a trading account), for which, a closed form solution exists in the symmetric case, when the riskfree rate is identical to the cost of carry. However, in absence of an explicit solution for the nonsymmetric case, we need to resort to numerical methods in order to solve the corresponding valuation partial...

article

A multiscale extension of the Margrabe formula under stochastic volatility

Jeong-Hoon Kim, Chang-Rae Park

Chaos, Solitons & Fractals > 2017 > 97 > C > 59-65

The pricing of financial derivatives based on stochastic volatility models has been a popular subject in computational finance. Although exact or approximate closed form formulas of the prices of many options under stochastic volatility have been obtained so that the option prices can be easily computed, such formulas for exchange options leave much to be desired. In this paper, we consider two different...

article

Computing deltas without derivatives

D. Baños, T. Meyer-Brandis, F. Proske, S. Duedahl

Finance and Stochastics > 2017 > 21 > 2 > 509-549

A well-known application of Malliavin calculus in mathematical finance is the probabilistic representation of option price sensitivities, the so-called Greeks, as expectation functionals that do not involve the derivative of the payoff function. This allows numerically tractable computation of the Greeks even for discontinuous payoff functions. However, while the payoff function is allowed to be irregular,...

article

КИЇВСЬКЕ МІСЬКЕ ТОВАРИСТВО ГРЕКІВ: ІСТОРІЯ І СУЧАСНІСТЬ

Vladyslava Piskizhova

Міжнародні зв’язки України: наукові пошуки і знахідки > 2017 > 26

The article is devoted to the history of the formation and activity of one of the first in the history of independent Ukraine public organizations of the national Greek community, i.e. the Kyiv City Association of the Greeks. After all, in today's world, public associations of national minorities are an extremely important structural component of the civil society, which can play both a consolidating...

INFONA - science communication portal

Search results

Symeon I Wielki – pół Grek? Kilka uwag na temat znaczenia terminu ‘emiargos’ (Liutprand z Kremony, „Antapodosis”, III, 29)

PoMo, Collage and Citation: Notes Towards an Etiology of Chunkiness

Optimal uniform error estimates for moving least‐squares collocation with application to option pricing under jump‐diffusion processes

Accelerating CVA and CVA Sensitivities Using Quasi‐Monte Carlo Methods

Option pricing with orthogonal polynomial expansions

Option pricing and the Greeks under Gaussian fuzzy environments

Analysis of public discourse on religious minorities in Turkey after the coup attempt of 15th July 2016

Relacje między ludami zamieszkującymi teren Sycylii w okresie greckiej kolonizacji

Książka w kulturze Greków w Rzeczypospolitej w XVI–XIX wieku. Rekonesans

Computation of the Delta of European options under stochastic volatility models

On the data-driven COS method

An integral representation of elasticity and sensitivity for stochastic volatility models

Computation of Greeks in jump-diffusion models using discrete Malliavin calculus

Parameter estimation risk in asset pricing and risk management: A Bayesian approach

Essentialism in Social Representations of Citizenship: An Analysis of Greeks' and Migrants' Discourse

Grecy a języki obce w starożytności

Pricing and estimates of Greeks for passport option: A three time level approach

A multiscale extension of the Margrabe formula under stochastic volatility

Computing deltas without derivatives

КИЇВСЬКЕ МІСЬКЕ ТОВАРИСТВО ГРЕКІВ: ІСТОРІЯ І СУЧАСНІСТЬ

Filter options

Publication date

Content availability

Publication type

Publication language

Keywords

Data set

INFONA - science communication portal

Search results

Add recipient

Sending message cancelled

Are you sure you want to cancel sending this message?

Send message

Filter options

Publication date

Date range setting

Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.

Content availability

Publication type

Publication language

Keywords

Data set

Reporting an error / abuse

Sending the report failed

Accessibility options