Journées de l'optimisation 2017

HEC Montréal, 8-10 mai 2017

1er Atelier Canadien sur l'optimisation des soins de santé (CHOW)

HEC Montréal, 10-11 mai 2017


HEC Montréal, 8 — 11 mai 2017

Horaire Auteurs Mon horaire
Cal add eabad1550a3cf3ed9646c36511a21a854fcb401e3247c61aefa77286b00fe402

TB6 Finance / Finance

9 mai 2017 10h30 – 12h10

Salle: CPA du Québec

Présidée par Geneviève Gauthier

4 présentations

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    10h30 - 10h55

    Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options

    • Jean-François Bégin, Présentateur, Simon Fraser University
    • Christian Dorion, HEC Montreal
    • Geneviève Gauthier, HEC Montreal

    This paper sheds new light on the relationship between idiosyncratic risk and equity returns by exploiting the richness of option data. To this end, we develop a jump-diffusion model in which a firm’s systematic and idiosyncratic risk have both a normal and a tail component. We show that the contribution of idiosyncratic risk arises exclusively from the jump risk component.

  • Cal add eabad1550a3cf3ed9646c36511a21a854fcb401e3247c61aefa77286b00fe402
    10h55 - 11h20

    Solving Optimal Portfolio Choice Problems with Forward Dynamic Programming

    • Siyang Wu, Présentateur, HEC Montréal
    • Michel Denault, HEC Montréal

    We develop a forward dynamic programming algorithm to solve optimal portfolio choice problems with CRRA utility function and finite horizon. The method is based on simulations and thus offers great flexibility for modeling the returns. It is a “forward” method in that the choice of decision for any scenario is effectively done from time 0 to the end of horizon, in opposition to traditional D.P. The resulting algorithm is an application of artificial intelligence techniques in Financial Engineering, and thus establishes a bridge between the two fields. Furthermore, there are indications that the method could naturally be extended to include other features such as transaction costs and inter-temporal consumption.

  • Cal add eabad1550a3cf3ed9646c36511a21a854fcb401e3247c61aefa77286b00fe402
    11h20 - 11h45

    Dynamic programming and parallel computing for valuing two-dimensional financial derivatives

    • Malek Ben-Abdellatif, Présentateur, HEC Montreal
    • Hatem Ben Ameur, GERAD, HEC Montréal
    • Bruno Rémillard, HEC Montréal

    We propose a dynamic program coupled with finite elements for valuing two-dimensional American-style options. To speed-up our procedure, we use parallel computing at every step of the recursion. Our model is flexible because it accommodates a large family of option con tracts signed on two underlying assets that move according to a lognormal vector process. The same procedure can be adapted to accommodate a larger family of derivative contracts and state-process dynamics.
    Our numerical experiments show convergence and efficiency, positioning our method as a viable alternative to traditional methodologies based on trees, finite differences, and Monte Carlo simulation.

  • Cal add eabad1550a3cf3ed9646c36511a21a854fcb401e3247c61aefa77286b00fe402
    11h45 - 12h10

    Extracting Latent States from High Frequency Option Prices

    • Geneviève Gauthier, Présentateur, HEC Montreal
    • Diego Amaya, Wilfrid laurier University
    • Jean-François Bégin, Simon Fraser University

    We propose the realized option variance as a new observable variable to integrate high frequency option prices in the inference of option pricing models. Using simulation and empirical studies, this paper documents the incremental information offered by this realized measure. Our empirical results show that the information contained in the realized option variance improves the inference of model variables such as the instantaneous variance and variance jumps of the S&P 500 index. Parameter estimates indicate that the risk premium breakdown between jump and diffusive risks is affected by the omission of this information.