Displaying similar documents to “The Kurzweil integral in financial market modeling”

Generalized CreditRisk+ model and applications

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.

Arbitrage and pricing in a general model with flows

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...

Pricing forward-start options in the HJM framework; evidence from the Polish market

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.

Community-Sourcing in Virtual Societies

Branzov, Todor (2016)

Serdica Journal of Computing

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The paper studies the approaches to development of goods with active participation of virtual community members. The concept of community-sourcing is presented as an alternative to the open source model and crowdsourcing. On that foundation a conceptual model of resource management system that use some current good practices of the IT industry is proposed. Results obtained in a virtual community implementing the model are presented as a validation attempt. ACM Computing Classification...

Strategic Trade Between Two Countries - Exploring the Case of Partial Local Consumer Protection

Iordanov, Iordan, Vassilev, Andrey (2017)

Serdica Journal of Computing

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The paper develops a dynamic model of trade between two countries where the trading entities interact in a strategic context. Consumers in both countries are endowed with certain incomes and try to acquire as much as possible of the quantities available on the markets. Consumers have privileged access to some of the good supplied locally, a form of partial local protection. Over time, prices are adjusted to respond to the outcomes of trading. For this setup, we prove the existence of...

Economic system dynamics.

McCauley, Joseph L., Küffner, Cornelia M. (2004)

Discrete Dynamics in Nature and Society

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Combining System Dynamic Modeling and the Datar–Mathews Method for Analyzing Metal Mine Investments

Jyrki Savolainen, Mikael Collan, Pasi Luukka (2016)

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

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This paper presents how a dynamic system model can be used together with the Datar–Mathews real option analysis method for investment analysis of metal mining projects. The focus of the paper is on analyzing a project from the point of view of the project owner. The paper extends the Datar–Mathews real option analysis method by combining it with a dynamic system model. The model employs a dynamic discount rate that changes as the debt-level of the project changes. A numerical case illustration...