Applications of simulation methods to barrier options driven by Lévy processes.
Roşca, Alin V., Roşca, Natalia C. (2010)
Acta Universitatis Apulensis. Mathematics - Informatics
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Displaying similar documents to “Risk management using var simulation with applications to Bucharest stock exchange.”
Applications of simulation methods to barrier options driven by Lévy processes.
A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.
Roşca, Natalia C. (2009)
Acta Universitatis Apulensis. Mathematics - Informatics
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Telegraph models of financial markets.
Ratanov, Nikita (2007)
Revista Colombiana de Matemáticas
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A mixed Monte Carlo and quasi-Monte Carlo sequence for multidimensional integral estimation.
Roşca, Alin V. (2007)
Acta Universitatis Apulensis. Mathematics - Informatics
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Pricing equity-linked debt using the Vasicek model.
Mallier, R., Alobaidi, G. (2002)
Acta Mathematica Universitatis Comenianae. New Series
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Time-dependent barrier options and boundary crossing probabilities.
Novikov, A., Frishling, V., Kordzakhia, N. (2003)
Georgian Mathematical Journal
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Optimal mean-variance robust hedging under asset price model misspecification.
Toronjadze, T. (2001)
Georgian Mathematical Journal
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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...
Some results of ruin probability for the classical risk process.
He, Yuanjiang, Li, Xucheng, Zhang, John (2003)
Journal of Applied Mathematics and Decision Sciences
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Strong innovation and its applications to information diffusion modelling in finance.
Toronjadze, T. (2002)
Georgian Mathematical Journal
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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...