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Extreme Market Movements, Risk And Asset Management: Generalization To Jump Processes, Stochastic Volatilities, And Information Costs

In: Derivatives, Risk Management & Value

Author

Listed:
  • Mondher Bellalah

    (Université de Cergy-Pontoise, France)

Abstract

The 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

Suggested Citation

  • Mondher Bellalah, 2009. "Extreme Market Movements, Risk And Asset Management: Generalization To Jump Processes, Stochastic Volatilities, And Information Costs," World Scientific Book Chapters, in: Derivatives, Risk Management & Value, chapter 17, pages 745-769, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812838636_0017
    as

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