All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Page 1 Next

Displaying 1 – 20 of 40

Showing per page

Gain-loss pricing under ambiguity of measure

Mustafa Ç. Pınar (2010)

ESAIM: Control, Optimisation and Calculus of Variations

Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under ambiguity of...

Game saturation of intersecting families

Balázs Patkós, Máté Vizer (2014)

Open Mathematics

We consider the following combinatorial game: two players, Fast and Slow, claim k-element subsets of [n] = 1, 2, …, n alternately, one at each turn, so that both players are allowed to pick sets that intersect all previously claimed subsets. The game ends when there does not exist any unclaimed k-subset that meets all already claimed sets. The score of the game is the number of sets claimed by the two players, the aim of Fast is to keep the score as low as possible, while the aim of Slow is to postpone...

General Laws of Adaptation to Environmental Factors: from Ecological Stress to Financial Crisis

A. N. Gorban, E. V. Smirnova, T. A. Tyukina (2009)

Mathematical Modelling of Natural Phenomena

We study ensembles of similar systems under load of environmental factors. The phenomenon of adaptation has similar properties for systems of different nature. Typically, when the load increases above some threshold, then the adapting systems become more different (variance increases), but the correlation increases too. If the stress continues to increase then the second threshold appears: the correlation achieves maximal value, and start to decrease, but the variance continue to increase. In many...

Generalized Choquet spaces

Samuel Coskey, Philipp Schlicht (2016)

Fundamenta Mathematicae

We introduce an analog to the notion of Polish space for spaces of weight ≤ κ, where κ is an uncountable regular cardinal such that κ < κ = κ . Specifically, we consider spaces in which player II has a winning strategy in a variant of the strong Choquet game which runs for κ many rounds. After discussing the basic theory of these games and spaces, we prove that there is a surjectively universal such space and that there are exactly 2 κ many such spaces up to homeomorphism. We also establish a Kuratowski-like...

Generalized CreditRisk+ model and applications

Jakub Szotek (2015)

Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica

In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.

Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model

Alina Kondratiuk-Janyska, Marek Kałuszka (2006)

Applicationes Mathematicae

The aim of this paper is to set different lower bounds on the change of the expected net cash flow value at time H > 0 in general term structure models, referring to the studies of Fong and Vasiček (1984), Nawalkha and Chambers (1996), and Balbás and Ibáñez (1998) among others. New immunization strategies are derived with new risk measures: generalized duration and generalized M-absolute of Nawalkha and Chambers, and exponential risk measure. Furthermore, examples of specific one-factor HJM models...

Currently displaying 1 – 20 of 40

Page 1 Next