Extracting factors from heteroskedastic asset returns

Article Abstract:

Heteroskedastic factor analysis is found to be more efficient than asymptotic principal components analysis when testing the Arbitrage Pricing Theory. This method may be more relevant for future research into single firm stock price volatility.

Statistical Data Included, Usage, Stock-exchange, Factor analysis, Discriminant analysis, Time-series analysis, Time series analysis

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Pricing and hedging in incomplete markets

Article Abstract:

A new, more realistic approach to arbitrage and securities pricing and maximization of expected utility is presented. The method uses probabilities and floors which payoffs must be above for acceptability.

Commodity Exchanges, Prices and rates, Options (Finance), Hedging (Finance), Commodities industry

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Time-changed levy processes and option pricing

Article Abstract:

Time-changed levy processes can simultaneously address the jumps of asset prices, varying of return volatilities and the correlation between the returns and volatilities.

Forecasts, trends, outlooks, Analysis, Forecasts and trends, Stock options, Market trend/market analysis, Securities trading

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