Telegraph models of financial markets.

Ratanov, Nikita

Displaying similar documents to “Telegraph models of financial markets.”

Strong innovation and its applications to information diffusion modelling in finance.

Toronjadze, T. (2002)

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Some results of ruin probability for the classical risk process.

He, Yuanjiang, Li, Xucheng, Zhang, John (2003)

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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...

An Approach to Wealth Modelling

Stoynov, Pavel (2003)

Serdica Mathematical Journal

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2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10 The change in the wealth of a market agent (an investor, a company, a bank etc.) in an economy is a popular topic in finance. In this paper, we propose a general stochastic model describing the wealth process and give some of its properties and special cases. A result regarding the probability of default within the framework of the model is also offered.

Optimal mean-variance robust hedging under asset price model misspecification.

Toronjadze, T. (2001)

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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...