Displaying similar documents to “Combining System Dynamic Modeling and the Datar–Mathews Method for Analyzing Metal Mine Investments”

Dynamic model of market with uninformed market maker

Martin Šmíd, Miloš Kopa (2017)

Kybernetika

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We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that, given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM's inventory and his uncertainty concerning the fair price. Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing...

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.

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.

Option pricing in a CEV model with liquidity costs

Krzysztof Turek (2016)

Applicationes Mathematicae

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The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques...

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...

Economic system dynamics.

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

Discrete Dynamics in Nature and Society

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Hedging of the European option in discrete time under transaction costs depending on time

Marek Andrzej Kociński (2010)

Applicationes Mathematicae

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Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.