Displaying similar documents to “Arbitrage and pricing in a general model with flows”

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.

Mathematical Model of Fibrin Polymerization

A.I. Lobanov, A.V. Nikolaev, T.K. Starozhilova (2011)

Mathematical Modelling of Natural Phenomena

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Blood clotting system (BCS) modelling is an important issue with a plenty of applications in medicine and biophysics. The BCS main function is to form a localized clot at the site of injury preventing blood loss. Mutual influence of fibrin clot consisting mainly of fibrin polymer gel and blood flow is an important factor for BCS to function properly. The process of fibrin polymer mesh formation has not adequately been described by current mathematical models. That is why it is not possible...

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.