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Essays in exotic derivative pricing and time series analysis

Ma, Suchun - 2005

(Journal of Banking and Finance, 1994) and the formula developed for pricing regular options in Black & Scholes (Journal of …

Persistent link: https://www.econbiz.de/10009438805

Editorial statement for mathematical finance

Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-3

Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used … in all areas of finance. In this editorial, we tell authors the ideas on what types of papers we will accept for … publication in the area of mathematical finance. We will discuss some well-cited papers of mathematical finance. …

Persistent link: https://www.econbiz.de/10012611266

Euro-CAN statistics

Europäische Kommission / Statistisches Amt - Luxembourg : Off. des Publ. Officielles des … - Ed. 2003[?]

Persistent link: https://www.econbiz.de/10002453477

Public finances in EMU ; 2000

2000

Persistent link: https://www.econbiz.de/10001623134

Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

Vital Stats: Union Budget 2014-15

Vaishnava, Saumya - eSocialSciences - 2014

The Minister of Finance, Mr. Arun Jaitley, presented the Union Budget 2014-15 to Parliament on July 10, 2014. In this … context, some statistics related to budget expenditures, receipts and deficits. …

Persistent link: https://www.econbiz.de/10010945348

On random number generators and practical market efficiency

Moews, Ben - In: Journal of the Operational Research Society 75 (2024) 5, pp. 907-920

Persistent link: https://www.econbiz.de/10014555786

Matching Kollo measures

Alexander, Carol; Wei, Wei; Chen, Xi - In: Journal of the Operational Research Society 75 (2024) 7, pp. 1279-1293

Persistent link: https://www.econbiz.de/10014555909

Sophisticated gambler’s ruin and survival chances

Mehta, Salil - Volkswirtschaftliche Fakultät, … - 2013

This note explores the mathematical theory to solve modern gambler’s ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to...

Persistent link: https://www.econbiz.de/10011107373

From Diffusions to Semimartingales

Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been...

Persistent link: https://www.econbiz.de/10011082748

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