4 papers
A Bayesian analysis of gain-loss asymmetry
Andrea Giuseppe Di Iura, Giulia Terenzi
We perform a quantitative analysis of the gain/loss asymmetry for financial time series by using a Bayesian approach. In particular, we focus on some selected indices and analyze t…
Option prices in stochastic volatility models
Giulia Terenzi
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the…
Properties of the American price function in the Heston-type models
Damien Lamberton, Giulia Terenzi
We study some properties of the American option price in the stochastic volatility Heston model. We first prove that, if the payoff function is convex and satisfies some regularity…
Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusions with application to the Bates model
Maya Briani, Lucia Caramellino, Giulia Terenzi
We study the rate of weak convergence of Markov chains to diffusion processes under suitable but quite general assumptions. We give an example in the financial framework, applying…