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We study sources of potentially serious errors of popular numerical realizations of the Fourier method in affine models and explain that, in many cases, a calibration procedure based on such a realization will be able to find a “correct parameter set” only in a rather small region of the...
We consider the at-the-money (ATM) strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behaviour of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of...
We develop the method of optimal portfolio choice based on the concept of cost-efficiency in two directions. First, instead of specifying a payoff distribution in an unique way, we allow customer-defined constraints and preferences for the choice of a distributional form of the payoff...
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