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Sukuk investment : Comparison of the profits obtained by using Ijarah and Musharakah Mutanaqisah principles with long‐term tenure

Jamilah Abdul Jalil, Mariam; Abdul Rahman, Zuriah - In: Qualitative Research in Financial Markets 4 (2012) 2/3, pp. 206-227

Purpose – The purpose of this paper is to determine whether the amount of profits gained from musharakah mutanaqisah model using coupon rate of 4.5 per cent, price at par and tenure of five years was greater than using ijarah principle where the price is at a discount. Also to compute and...

Persistent link: https://www.econbiz.de/10014988295

Specification tests for autoregressive conditional heteroskedastic models with applications to exchange rates of Asian countries

Zuo, Xiao-Lei - 1992

The White information matrix (IM) test is applied to the linear regression model with autoregressive conditional heteroskedastic (ARCH) errors. ARCH models are used widely in analyzing economic and financial time series data. However, in practice, the models are not often thoroughly tested. We...

Persistent link: https://www.econbiz.de/10009477614

Development of an Investment Recommender System Using Factor Analysis, ANFIS, and MMNN

Asemi, Asefeh; Asemi, Adeleh; Kő, Andrea - 2024

The main goal is to present two investment recommender systems (IRS), by combining clustering, factor analysis, Adaptive Neuro Fuzzy Inference System (ANFIS), and Multimodal Neural Network (MNN). The aim is to merge each method with advanced techniques to improve the precision and efficiency of...

Persistent link: https://www.econbiz.de/10015331468

Numerical methods and software for the pricing of American financial derivatives

Pantazopoulos, Konstantinos N - 1998

In recent years leading-edge financial institutions routinely use advanced analytical and numerical techniques from science and engineering to create, deploy, and manage new financial instruments. The proliferation and complexity of the available financial instruments in conjunction with the...

Persistent link: https://www.econbiz.de/10009430529

The mathematical language of academic finance: a paradigmatic look

Ardalan, Kavous - In: International Journal of Social Economics 29 (2002) 3, pp. 187-204

Any adequate analysis of the nature and role of the mathematical language in finance necessarily requires fundamental understanding of the worldviews underlying the views expressed with respect to the nature and role of language. This paper starts with the premise that any worldview can be...

Persistent link: https://www.econbiz.de/10014805062

Mathematics and academic finance: the role of paradigms

Ardalan, Kavous - In: International Journal of Social Economics 32 (2005) 4, pp. 276-290

Purpose – Any adequate analysis of the nature of mathematics and its role in sciences necessarily requires fundamental … understanding of the world views underlying the views expressed with respect to the nature and role of mathematics. Aims to discuss … four general views with respect to mathematics and its role in sciences, corresponding to four broad worldviews. Design …

Persistent link: https://www.econbiz.de/10014805266

Pricing variance derivatives using hybrid models with stochastic interest rates

Smetaniouk, Taras - 2008

In this thesis, the research focuses on the development and implementation of two hybrid models for pricing variance swaps and variance options. Some variance derivatives (i.e., variance swap) are priced using portfolios of put and call options. However, longer-term options price not only stock...

Persistent link: https://www.econbiz.de/10009450610

A NEW LEVY BASED SHORT-RATE MODEL FOR THE FIXED INCOME MARKET AND ITS ESTIMATION WITH PARTICLE FILTER

Zhang, Bing - 2006

In this thesis two contributions are made to the area of mathematical finance. First, in order to explain the non-trivial skewness and kurtosis that is observed in the time series data of constant maturity swap (CMS) rates, we employ the pure jump Levy processes, i.e. in particular Variance...

Persistent link: https://www.econbiz.de/10009450715

Empirical Analyses on Federal Thrift Savings Plan Portfolio Optimization

Nestler, Scott T - 2007

There is ample historical data to suggest that log returns of stocks and indices are not independent and identically distributed Normally, as is commonly assumed. Instead, the returns of financial assets are skewed and have higher kurtosis. To account for skewness and excess kurtosis, it is...

Persistent link: https://www.econbiz.de/10009450764

Pricing Volatility Derivatives Using Space Scaled Levy Processes

Prakash, Samvit - 2008

The VIX index measures the one-month risk-neutral forward volatility of the S&P500 (SPX) index. While Lévy processes such as the CGMY process can price options on the underlying stock or index, they implicitly assume a constant forward volatility. This makes them unsuitable for pricing options...

Persistent link: https://www.econbiz.de/10009450886

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