Tilman Sayer

Advanced Logic Analytics

London

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

328

CITATIONS

0

Scholarly Papers (6)

1.

Joining the Heston and a Three-Factor Hull-White Model: A Closed-Form Approach

International Journal of Theoretical and Applied Finance, Vol. 18, No. 8, 2015
Posted: 21 Jun 2014 Last Revised: 28 Jan 2017
Roman Horsky and Tilman Sayer
Das Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM and Advanced Logic Analytics

Abstract:

Option valuation, Heston model, two-factor Hull-White model, Stochastic volatility, Stochastic interest rate, Analytic solution

2.

Pricing Employee Stock Options under Stochastic Volatility

Number of pages: 25 Posted: 10 Jan 2013
Tilman Sayer
Advanced Logic Analytics
Downloads 62 (262,266)

Abstract:

Heston model, employee stock options, subjective market beliefs, tree model, performance hurdle

3.

Computation of the Delta of European Options Under Stochastic Volatility Models

Number of pages: 19 Posted: 02 Dec 2016
Middle Eastern Technical University Ankara, Advanced Logic Analytics, Middle Eastern Technical University Ankara and Middle Eastern Technical University Ankara
Downloads 0 (390,381)

Abstract:

Greeks, Malliavin calculus, Stochastic volatility

4.

Portfolio Strategies and Estimation in a Hidden Markov Model Using State Dependent, State Independent or No Correlation

Number of pages: 39 Posted: 02 Dec 2016
Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Department of Finance, University of Oldenburg - School of Mathematics and Science, University of Kaiserslautern - Department of Mathematics and Advanced Logic Analytics
Downloads 0 (328,508)

Abstract:

Multivariate HMM, Filtering, Regime switching model, Portfolio optimization

5.

An Impact Measure for News: Its Use in Daily Trading Strategies

Number of pages: 25 Posted: 12 Dec 2015
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, OptiRisk Systems and Advanced Logic Analytics
Downloads 0 (140,233)

Abstract:

news sentiment, news impact, efficient market hypothesis daily trading, predictive analytics, asset returns, volatility of assets, liquidity of assets, GARCH model, bid-ask spread, news metadata, market data, volatility pumping, Kelly strategy

6.

Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation

Journal of Derivatives, Vol. 20, No. 3, 2013
Posted: 30 Mar 2011 Last Revised: 20 Jun 2014
University of Oldenburg - School of Mathematics and Science, Advanced Logic Analytics and University of Hamburg - Faculty of Economics and Business Administration

Abstract:

Heston Model, American Options, Moment Matching, Correlation, Tree Method