Title :
Apples to oranges: reconciling “vegas” from inconsistent valuation models by a stochastic change of coordinates
Author_Institution :
Infinity, Mountain View, CA, USA
Abstract :
We present fundamental research on new notions of “vega” that, unlike the usual ones, can sensibly be added together across different valuation models. First, we describe the basic ideas using simple models of equity prices. Next, we outline the application of these ideas to interest-rate derivatives
Keywords :
costing; modelling; stochastic processes; stock markets; equity prices; inconsistent valuation models; interest-rate derivatives; stochastic coordinate change; stock prices; valuation models; vega reconciliation; Cost accounting; Economic indicators; Equations; H infinity control; History; Stochastic processes;
Conference_Titel :
Computational Intelligence for Financial Engineering, 2000. (CIFEr) Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on
Conference_Location :
New York, NY
Print_ISBN :
0-7803-6429-5
DOI :
10.1109/CIFER.2000.844612
