Displaying similar documents to “Pricing equity-linked debt using the Vasicek model.”

Convergence model of interest rates of CKLS type

Zuzana Zíková, Beáta Stehlíková (2012)

Kybernetika

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This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities...

Flocking with informed agents

Felipe Cucker, Cristián Huepe (2008)

MathematicS In Action

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Two similar Laplacian-based models for swarms with informed agents are proposed and analyzed analytically and numerically. In these models, each individual adjusts its velocity to match that of its neighbors and some individuals are given a preferred heading direction towards which they accelerate if there is no local velocity consensus. The convergence to a collective group swarming state with constant velocity is analytically proven for a range of parameters and initial conditions....

Dynamic portfolio optimization with risk management and strategy constraints

Csilla Krommerová, Igor Melicherčík (2014)

Kybernetika

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We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible...