Computational exploration of the biological basis of Black-Scholes expected utility function.
Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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Displaying similar documents to “A time-series approach to non-self-financing hedging in a discrete-time incomplete market.”
Computational exploration of the biological basis of Black-Scholes expected utility function.
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Jandačka, Martin, Ševčovič, Daniel (2005)
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Journal de la société française de statistique
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Journal of Applied Mathematics and Decision Sciences
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A method of determining risk zones of investment in real estate
L. Ustinovichius, V. Podvezko, R. Ginevicius (2006)
Control and Cybernetics
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Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord.
Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
Discrete Dynamics in Nature and Society
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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...
Dynamic Stochastic Accumulation Model With Application to Pension Savings Management
Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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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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