{"title":"Apples to oranges: reconciling \"vegas\" from inconsistent valuation models by a stochastic change of coordinates","authors":"A. Kuruc","doi":"10.1109/CIFER.2000.844612","DOIUrl":null,"url":null,"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.","PeriodicalId":308591,"journal":{"name":"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)","volume":"2009 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2000-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CIFER.2000.844612","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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.
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