Risk management using var simulation with applications to Bucharest stock exchange.
Simultaneous Determination of Economic Production Quantity and Economic Control Chart Design Under Truncated Weibull Shock Models
Stochastic invariance and consistency of financial models
The paper is devoted to a connection between stochastic invariance in infinite dimensions and a consistency question of mathematical finance. We derive necessary and sufficient conditions for stochastic invariance of Nagumo’s type for stochastic equations with additive noise. They are applied to Ornstein-Uhlenbeck processes and to specific financial models. The case of evolution equations with general noise is discussed also and a comparison with recent results obtained by geometric methods is presented...
Unequal access to public healthcare facilities: theory and measurement revisited.