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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Journal of Applied Mathematics and Decision Sciences
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A method of determining risk zones of investment in real estate
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Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord.
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Evaluating Total Operational Value and Associated Risks of Financial Holding Companies in Taiwan
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Subprime risk and insurance with regret.
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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.