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Researchers from University of Calgary Report New Studies and Findings in the Area of Insurance Economics (Pricing currency derivatives with...

August 29, 2014



Researchers from University of Calgary Report New Studies and Findings in the Area of Insurance Economics (Pricing currency derivatives with Markov-modulated Levy dynamics)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Current study results on Insurance Economics have been published. According to news reporting originating from Calgary, Canada, by VerticalNews correspondents, research stated, "Using a Levy process we generalize formulas in Bo et al. (2010) for the Esscher transform parameters for the log-normal distribution which ensure that the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson process intensity with respect to this measure."

Our news editors obtained a quote from the research from the University of Calgary, "The formulas for a European call foreign exchange option are also derived. We apply these formulas to the case of the log-double exponential distribution of jumps."

According to the news editors, the research concluded: "We provide numerical simulations for the European call foreign exchange option prices with different parameters."

For more information on this research see: Pricing currency derivatives with Markov-modulated Levy dynamics. Insurance Mathematics & Economics, 2014;57():67-76. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news editors report that additional information may be obtained by contacting A. Swishchuk, University of Calgary, Dept. of Math & Stat, Calgary, AB T2N 1N4, Canada. Additional authors for this research include M. Tertychnyi and R. Elliott.

Keywords for this news article include: Canada, Calgary, Alberta, Insurance Economics, North and Central America

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Insurance Weekly News


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