英文标题：
《Computation of second order price sensitivities in depressed markets》
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作者：
Youssef El-Khatib and Abdulnasser Hatemi-J
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最新提交年份：
2018
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英文摘要：
Risk management in financial derivative markets requires inevitably the calculation of the different price sensitivities. The literature contains an abundant amount of research works that have studied the computation of these important values. Most of these works consider the well-known Black and Scholes model where the volatility is assumed to be constant. Moreover, to our best knowledge, they compute only the first order price sensitivities. Some works that attempt to extend to markets affected by financial crisis appeared recently. However, none of these papers deal with the calculation of the price sensitivities of second order. Providing second derivatives for the underlying price sensitivities is an important issue in financial risk management because the investor can determine whether or not each source of risk is increasing at an increasing rate. In this paper, we work on the computation of second order prices sensitivities for a market under crisis. The underlying second order price sensitivities are derived explicitly. The obtained formulas are expected to improve on the accuracy of the hedging strategies during a financial crunch.
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中文摘要：
金融衍生品市场的风险管理不可避免地需要计算不同的价格敏感性。文献中包含大量研究工作，研究了这些重要值的计算。其中大多数工作考虑了著名的Black和Scholes模型，其中假设波动率为常数。此外，据我们所知，他们仅计算一阶价格敏感性。最近出现了一些试图扩展到受金融危机影响的市场的作品。然而，这些论文都没有涉及二阶价格敏感性的计算。为基础价格敏感性提供二级衍生工具是金融风险管理中的一个重要问题，因为投资者可以确定每个风险源是否以不断增长的速度增长。在本文中，我们研究了在危机下市场的二阶价格敏感性的计算。明确推导了潜在的二阶价格敏感性。所获得的公式有望在金融危机期间提高对冲策略的准确性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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