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Option Pricing in Fractional Brownian Markets

Rostek, Stefan (contributor) - 2009

The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian...

Persistent link: https://www.econbiz.de/10013521157

The Analysis of Sports Forecasting : Modeling Parallels between Sports Gambling and Financial Markets

Mallios, William S. - 2000

Given the magnitude of currency speculation and sports gambling, it is surprising that the literature contains mostly negative forecasting results. Majority opinion still holds that short term fluctuations in financial markets follow random walk. In this non-random walk through financial and...

Persistent link: https://www.econbiz.de/10013521431

Applied Stochastic System Modeling

Osaki, Shunji - 1992

This book provides a self-contained and systematic treatment of stochastic processes and their applications. Having a ba- sic knowledge of mathematics at an undergraduate level, the reader can easily understand stochastic processes with dis- crete state space such as Poisson processes, renewal...

Persistent link: https://www.econbiz.de/10013522254

Pricing of Derivatives on Mean-Reverting Assets

Lutz, Björn - 2010

Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration of Jump Components -- Stochastic Equilibrium Level of the Underlying Process -- Deterministic Seasonality Effects -- Conclusion

Persistent link: https://www.econbiz.de/10013522771

Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice

Schulmerich, Marcus - 2010

Real Options in Theory and Practice -- Stochastic Models for the Term Structure of Interest Rates -- Real Options …-factor models) and by using implied forward rates. All necessary theory is provided in the book. The analyses were conducted using a …

Persistent link: https://www.econbiz.de/10013522815

Nonlinear Dynamics in Equilibrium Models : Chaos, Cycles and Indeterminacy

Stachurski, John - 2012

Optimal growth theory studies the problem of efficient resource allocation over time, a fundamental concern of economic … research. Since the 1970s, the techniques of nonlinear dynamical systems have become a vital tool in optimal growth theory … importance to modern economic theory. This book collects his major contributions in a single volume. Kazuo Nishimura has been …

Persistent link: https://www.econbiz.de/10013522947

Stochastic Models in Reliability and Maintenance

Osaki, Shunji (ed.) - 2002

This book contains 12 contributions on stochastic models in reliability and maintenance. Written by the leading researchers on each topic, each contribution surveys the current status on stochastic models emphasizing mathematical formulation and optimization applications. Each contribution is...

Persistent link: https://www.econbiz.de/10013523209

A dynamic leverage stochastic volatility model

Nguyen, Hoang; Trong-Nghia Nguyen; Minh-Ngoc Tran - In: Applied economics letters 30 (2023) 1, pp. 97-102

Persistent link: https://www.econbiz.de/10013553004

The impact of stochastic volatility on initial margin and MVA for interest rate derivatives

Hoencamp, J. H.; Kort, J. P. de; Kandhai, B. D. - In: Applied mathematical finance 29 (2022) 2, pp. 141-179

Persistent link: https://www.econbiz.de/10013554796

On absolute socioeconomic health inequality comparisons

Khaled, Mohamad A.; Makdissi, Paul; Yazbeck, Myra - In: The European journal of health economics 24 (2023) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10013557033