Vaccination strategies of population groups with distinct perceived probabilities of infection.
Valuation and optimal design to defaultable security
Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.
Valuation for an American continuous-installment put option on bond under Vasicek interest rate model.
Valuation of game options in jump-diffusion model and with applications to convertible bonds.
Values of majority voting games with distrust operators
A distrust operator, describing a kind of agreement among a group of players, transforms any characteristic function game to another game. In this new game, a player from this group can legally access a coalition if and only if all players from the group do the same. A formula for the Shapley value of games obtained by applying distrust operators to one man-one vote majority voting games is given, and the cases in which such an "agreement" is profitable to its parties are discussed. We also prove...
Valuing barrier options using the adaptive discontinuous Galerkin method
This paper is devoted to barrier options and the main objective is to develop a sufficiently robust, accurate and efficient method for computation of their values driven according to the well-known Black-Scholes equation. The main idea is based on the discontinuous Galerkin method together with a spatial adaptive approach. This combination seems to be a promising technique for the solving of such problems with discontinuous solutions as well as for consequent optimization of the number of degrees...
Valuing time-dependent CEV barrier options.
Valutazione e copertura di opzioni Americane in mercati incompleti: strategie di rischio minimo
VaR bounds for joint portfolios with dependence constraints
Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted confidence level and its quality...
VaR: exchange rate risk and jump risk.
Variance reduction in a stochastic volatility scenario.
Variational analysis for the Black and Scholes equation with stochastic volatility
We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...
Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...
Variational Reduction for the Transport Equation in a Multiple Branching Plants Growth Model
Plant growth depends essentially on nutrients coming from the roots and metabolites produced by the plant. Appearance of new branches is determined by concentrations of certain plant hormones. The most important of them are Auxin and Cytokinin. Auxin is produced in the growing, Cytokinin in either roots or in growing parts. Many dynamical models of this phenomena have been studied in [1]. In [5], the authors deal with one branch model. In this work,...
Variational sensitivity analysis of parametric Markovian market models
Parameter sensitivities of prices for derivative contracts play an important role in model calibration as well as in quantification of model risk. In this paper a unified approach to the efficient numerical computation of all sensitivities for Markovian market models is presented. Variational approximations of the integro-differential equations corresponding to the infinitesimal generators of the market model differentiated with respect to the model parameters are employed. Superconvergent approximations...
Variations on a theme of Euclid.
Vers une formalisation de l'analyse sémantique de matches en sports collectifs. Application au rugby à XV
Cet article met l'accent sur l'originalité de la démarche adoptée. Dans le domaine de l'étude des sports collectifs, avec comme exemple de référence le rugby à XV, on se place du point de vue formel en utilisant des outils issus de l'informatique théorique. Les techniques de spécification mises en oeuvre sont les automates qui proviennent de la théorie des graphes, et la notation classique BNF, combinée aux Expressions Régulières, vue comme un langage de spécification formelle. L'un des intérêts...
Versicherungsmathematische Werte bei Zinsfussänderungen
Vertex deletion games with parity rules.
Viability and invariance for differential games with applications to Hamilton-Jacobi-Isaacs equations