Implications of parameter uncertainty on option prices.
Lindström, Erik (2010)
Advances in Decision Sciences
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Lindström, Erik (2010)
Advances in Decision Sciences
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Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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P. Sztuba, A. Weron (2001)
Applicationes Mathematicae
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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Jakub Szotek (2015)
Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica
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In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Lane P. Hughston, Andrea Macrina (2008)
Banach Center Publications
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We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing...
Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
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Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
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Krzysztof Turek (2016)
Applicationes Mathematicae
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The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques...
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Ton Vorst (1990)
Banach Center Publications
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Zorica Mladenović (2009)
The Yugoslav Journal of Operations Research
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McCauley, Joseph L., Küffner, Cornelia M. (2004)
Discrete Dynamics in Nature and Society
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Beklaryan, L. A., Borisova, S. V. (2002)
Vladikavkazskiĭ Matematicheskiĭ Zhurnal
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Jan Palczewski (2003)
Applicationes Mathematicae
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We study a fundamental issue in the theory of modeling of financial markets. We consider a model where any investment opportunity is described by its cash flows. We allow for a finite number of transactions in a finite time horizon. Each transaction is held at a random moment. This places our model closer to the real world situation than discrete-time or continuous-time models. Moreover, our model creates a general framework to consider markets with different types of imperfection: proportional...
Philippe Durand, Jean-Frédéric Jouanin (2007)
ESAIM: Probability and Statistics
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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...