Volatility model risk measurement and against worst case volatilities
Risklab project in model risk (2000)
Journal de la société française de statistique
Similarity:
Risklab project in model risk (2000)
Journal de la société française de statistique
Similarity:
Helgard Raubenheimer, Machiel F. Kruger (2010)
Kybernetika
Similarity:
Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over...
Lane P. Hughston, Andrea Macrina (2008)
Banach Center Publications
Similarity:
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...
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
Discrete Dynamics in Nature and Society
Similarity:
Lindström, Erik (2010)
Advances in Decision Sciences
Similarity:
Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
Similarity:
Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
Similarity:
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
Similarity:
Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
Similarity:
Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
Similarity:
Egozcue, Martin, Wong, Wing-Keung (2010)
Advances in Decision Sciences
Similarity:
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
Similarity: