Evaluating Total Operational Value and Associated Risks of Financial Holding Companies in Taiwan
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
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Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
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Risklab project in model risk (2000)
Journal de la société française de statistique
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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.
L. Ustinovichius, V. Podvezko, R. Ginevicius (2006)
Control and Cybernetics
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T. Roy, K.S. Chaudhuri (2012)
The Yugoslav Journal of Operations Research
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Lane P. Hughston, Andrea Macrina (2008)
Banach Center Publications
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We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing...
Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
Discrete Dynamics in Nature and Society
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Faria, João Ricardo (2005)
Journal of Applied Mathematics and Decision Sciences
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Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Joglekar, Prafulla, Lee, Patrick, Farahani, Alireza M. (2008)
Journal of Applied Mathematics and Decision Sciences
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Kuo-Chen Hung (2011)
The Yugoslav Journal of Operations Research
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T. Roy, K. S. Chaudhuri (2007)
The Yugoslav Journal of Operations Research
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