Analysis of an uncertain volatility model.
Di Francesco, Marco, Foschi, Paolo, Pascucci, Andrea (2006)
Journal of Applied Mathematics and Decision Sciences
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Di Francesco, Marco, Foschi, Paolo, Pascucci, Andrea (2006)
Journal of Applied Mathematics and Decision Sciences
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D. Feldmann, W. Härdle, C. Hafner, M. Hoffmann, O. Lepski, A. Tsybakov (2003)
Applicationes Mathematicae
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Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given data set, a statistical test is required. In this paper, we develop such a test of a linear hypothesis versus a general composite nonparametric alternative using the state space representation of the SV model as an errors-in-variables AR(1) model. The power of the test is analyzed. We provide a simulation study and apply the test to...
Lindström, Erik (2010)
Advances in Decision Sciences
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Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
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Risklab project in model risk (2000)
Journal de la société française de statistique
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Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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Jan Iwanik (2007)
Applicationes Mathematicae
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This paper is an attempt to present and analyse stochastic mortality models. We propose a couple of continuous-time stochastic models that are natural generalizations of the Gompertz law in the sense that they reduce to the Gompertz function when the volatility parameter is zero. We provide a statistical analysis of the available demographic data to show that the models fit historical data well. Finally, we give some practical examples for the multidimensional models.
Aurélie Edwards, Nicolas Seguin, Magali Tournus (2012)
ESAIM: Proceedings
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We present a finite volume type scheme to solve a transport nephron model. The model consists in a system of transport equations with specific boundary conditions. The transport velocity is driven by another equation that can undergo sign changes during the transient regime. This is the main difficulty for the numerical resolution. The scheme we propose is based on an explicit resolution and is stable under a CFL condition which does not depend on the stiffness of source terms. ...
Zorica Mladenović (2009)
The Yugoslav Journal of Operations Research
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Mark Davis, Jan Obłój (2008)
Banach Center Publications
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Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work [Proc. R. Soc. London, 2004], the first author provided a geometric condition under which trading in the underlying and a finite number of vanilla options completes the market. We complement this result in several ways. First, we show that the geometric condition...
Fabio Fornari, Carlo Monticelli (1998)
Journal de la société française de statistique
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Tomáš Rusý, Miloš Kopa (2018)
Kybernetika
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We build a multi-stage stochastic program of an asset-liability management problem of a leasing company, analyse model results and present a stress-testing methodology suited for financial applications. At the beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint, which...
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.
Mohamed Kayid, Salman Izadkhah, Dalal ALmufarrej (2016)
Applications of Mathematics
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By considering a covariate random variable in the ordinary proportional mean residual life (PMRL) model, we introduce and study a general model, taking more situations into account with respect to the ordinary PMRL model. We investigate how stochastic structures of the proposed model are affected by the stochastic properties of the baseline and the mixing variables in the model. Several characterizations and preservation properties of the new model under different stochastic orders and...
Laureano F. Escudero (1998)
Revista de la Real Academia de Ciencias Exactas Físicas y Naturales
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We present a model1ing framework for multistage planning problems under uncertainty in the objective function coefficients and right-hand-side. A multistagy scenario analysis scheme with partial recourse is used. So, the decisíon polícy can be implemented for a given set of initial time periods (so-called implementable time stage), such that the solution for the other periods lioes not need' to be anticipated and, then, it depends upon the scenario group to occur at each stage. In any...