We consider a discrete-time approximation of paths of an Ornstein--Uhlenbeck process as a mean for estimation of a price of European call option in the model of financial market with stochastic volatility. The Euler--Maruyama approximation scheme is implemented. We determine the estimates for the option price for predetermined sets of parameters. The rate of convergence of the price and an average volatility when discretization intervals tighten are determined. Discretization precision is analyzed for the case where the exact value of the price can be derived.
read more...Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation. (arXiv:1601.01128v1 [q-fin.CP])
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101 Formulaic Alphas. (arXiv:1601.00991v1 [q-fin.PM])
We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas. Their average holding period approximately ranges 0.6-6.4 days. The average pair-wise correlation of these alphas is low, 15.9%. The returns are strongly correlated with volatility, but have no significant dependence on turnover, directly confirming an earlier result by two of us based on a more indirect empirical analysis. We further find empirically that turnover has poor explanatory power for alpha correlations.
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UCITS Alternative Index Dips 0.15% To Start 2016
The UCITS Alternative Index Blue Chip, which tracks the performance of the largest and most representative absolute return UCITS funds, slipped slightly in the first week of the New Year, according to the latest data from Switzerland-based index provider Hedgeanalytics.Â
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Brevan Howard's Master Fund Post Second Straight Annual Loss
Well-known macro investment manager Brevan Howard Asset Management has reportedly booked a nearly 2% loss in its main hedge fund for 2015, its second consecutive annual decline.Â
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Gundlach's DoubleLine Marks 23rd Consecutive Month of Inflows with $1B December Haul
Jeff Gundlachâs DoubleLine Funds continued its impressive run of monthly net inflows during the last month of 2015, attracting a net $1.03 billion in December. It was the companyâs 23rd consecutive month garnering new investor capital.
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VIDEO: Netflix: We'll follow Apple into China
The chief executive of Netflix Reed Hastings says he intends to follow Apple's lead to get permission to operate in China.
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VIDEO: World Bank predicts sluggish growth
The World Bank's latest look at the year ahead suggests the global economy may continue to limp along, with falling commodity prices a drag on growth.
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Federal Reserve Board issues enforcement action with Covenant Bancgroup, Inc.
Federal Reserve Board issues enforcement action with Covenant Bancgroup, Inc.
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Science and homes plan for drugs site
A site vacated by pharmaceutical giant Novartis is to become a science and business park, financed by housing.
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What is the 'cocktail' of financial risks?
What are the ingredients Mr Osborne is warning about?
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Tel Aviv Stock Exchange Trading Summary: January 03-07, 2016
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Borsa Ä°stanbul Derivatives Market (VIOP) Expands Its Market Making Activities In Electricity Futures
OdaÅ Elektrik Üretim Sanayi Ticaret A.Å., along with Is Investment became market maker for Electricity Futures Contracts on January 4, 2016. With this new addition, Is Investment expanded its market making activities in electricity futures to three different market markers.
The contract months for Electricity Futures Contracts were increased from 4 to 16 months. Additionally, minimum order size is reduced in the trade reporting, and with the help of six market maker institutions, the energy sector participants can effectively use VIOP electricity futures for their risk management with a central counterparty clearing service. Thanks to the new market making program, increased number of contract months, and reduced minimum order size of trade reporting, the trade volume in electricity futures is expected to accelerate in the coming months on top of its fast growth since June 2015.
Borsa Ä°stanbul VIOP has been offering central counterparty service through Takasbank for all the products traded on VIOP since March 2014.
VIOP Electricity futures are traded at lower costs compared to OTC platforms. Besides, stamp duty tax is not applicable on VIOP contracts whereas approximately 1% stamp tax is collected in OTC platforms.
In brief, investors can trade on VIOP Electricity Futures with the help of 6 market makers without being subject to counterparty risk, stamp tax and high brokerage fees. Borsa Ä°stanbul Derivatives Market (VIOP) is the region’s leading and most liquid derivatives marketplace where the investors and corporates come to manage their risk. VIOP offers the widest range of regional benchmark products across all major asset classes, including futures and options based on equity indices, currencies, interest rates, precious metals, commodities and energy with a central counterparty clearing service.
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China Securities Regulatory Commission Suspends Circuit Breaker
China Securities Regulatory Commission (CSRC) announced Thursday night that it will from Friday suspend the stock market "circuit breaker" mechanism.
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What's gone wrong with M&S fashion?
Why have Marks and Spencer clothes fallen out of favour?
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South Africa ends trade row with US
South Africa resolves a trade row with the US which threatened millions of dollars worth of business, its trade minister says.
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Vienna Stock Exchange: ATX Watchlist For December 2015
The watchlist is used as a basis for the admission and/or deletion of ATX stocks at the semiannual (March and September) reviews of ATX basket.
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BATS ETF Marketplace Welcomes Four New WisdomTree ETFs - New ETFs Began Trading Today
BATS Global Markets (BATS), the #1 U.S. market for the trading of exchange-traded funds (ETFs), today welcomed four new ETFs from WisdomTree to its U.S. market.
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New â¬3bn Irish Government 10-Year Benchmark Bond Lists On Irish Stock Exchange
A new Irish Government benchmark bond was today admitted to listing and trading on the Main Securities Market (MSM) of the Irish Stock Exchange (ISE).
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BATS ETF Marketplace Welcomes Three New iShares ETFs - 30 iShares ETFs Now Listed On The BATS ETF Marketplace - New ETFs Began Trading Today
BATS Global Markets (BATS), the #1 U.S. market for the trading of exchange-traded funds (ETFs), today welcomed three new ETFs from iShares to its U.S. market.
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Highlights From ESMAâS 2015 Financial Innovation Day
The European Securities and Markets Authority (ESMA) held its second Financial Innovation Day on 16 December 2015 looking at “Innovation in a Capital Market Union: harnessing innovation to improve access to finance and spur investment”.
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