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有限维依赖下的衍生品定价AI 解读

We consider derivative pricing in factor models, where the factor is Markov with Finite Dimensional Dependence (FDD). The FDD condition allows for explicit formulas for derivative prices and their term structure and in this respect is a serious competitor of models with affine dynamic factors. The approach is illustrated by a comparison of the prices of realized and integrated volatility swaps. We show that the usual practice of replacing a payoff written on the realized…

违约事件定价：意外、外生性与传染AI 解读

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the default-event surprise, is neglected. Our paper develops an approach to get closed-form expressions for the prices of credit derivatives written on multiple names without neglecting…

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