Displaying similar documents to “Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity”

Asymptotics of riskless profit under selling of discrete time call options

A. V. Nagaev, S. A. Nagaev (2003)

Applicationes Mathematicae

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A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.

On the control of the difference between two Brownian motions: an application to energy markets modeling

Thomas Deschatre (2016)

Dependence Modeling

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We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled...

Convergence to the brownian Web for a generalization of the drainage network model

Cristian Coletti, Glauco Valle (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We introduce a system of one-dimensional coalescing nonsimple random walks with long range jumps allowing paths that can cross each other and are dependent even before coalescence. We show that under diffusive scaling this system converges in distribution to the Brownian Web.

Brownian local times.

Takács, Lajos (1995)

Journal of Applied Mathematics and Stochastic Analysis

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On risk minimizing strategies for default-free bond portfolio immunization

Marek Kałuszka, Alina Kondratiuk-Janyska (2004)

Applicationes Mathematicae

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This paper presents new strategies for bond portfolio immunization which combine the time-honored duration with the M-Absolute measure defined by Nawalkha and Chambers (1996). The innovation consists in considering an average shock in a fixed time period as a random variable with mean μ or, alternatively, with normal distribution with mean μ and variance σ². Additionally, an extension to arbitrage free models of polynomial shocks is provided. Moreover, the Fisher and Weil model, the...