Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Antony Ware"'
Publikováno v:
Risks, Vol 5, Iss 3, p 48 (2017)
Energy commodities and their futures naturally show cointegrated price movements. However, there is empirical evidence that the prices of futures with different maturities might have, e.g., different jump behaviours in different market situations. Ob
Externí odkaz:
https://doaj.org/article/76314a7d97d34ca7841ac9d331bc28e3
Publikováno v:
Journal of Probability and Statistics, Vol 2010 (2010)
Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the
Externí odkaz:
https://doaj.org/article/3785b5b3beb442e0a53acf17a87f578e
Autor:
Antony Ware
Publikováno v:
Energy Policy. 118:633-641
Maximizing the long-term value of hydropower generation requires management of uncertain reservoir inflows, potentially variable constraints on outflows, and exposure to possibly wildly varying power prices. We describe a stochastic dynamic programmi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::023ec227a299df5f686709863001b7b1
https://doi.org/10.1016/j.enpol.2018.03.053
https://doi.org/10.1016/j.enpol.2018.03.053
Publikováno v:
Fuzzy Sets and Systems. 331:14-25
In recent years, fuzzy sets theory has been introduced as a means of modeling the uncertainties of the input parameters of the Black–Scholes–Merton European options pricing formula. However, some standard assumptions underlying the Black–Schole
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db8270e5b1556b4c170dbe83e3161032
https://doi.org/10.1016/j.fss.2016.12.005
https://doi.org/10.1016/j.fss.2016.12.005
Publikováno v:
Applied Mathematics and Computation. 246:316-335
This paper presents adaptive wavelet collocation methods for the numerical solutions to partial integro-differential equations (PIDEs) arising from option pricing in a market driven by jump-diffusion process. The first contribution of this paper lies
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::81df596d713d26bbb9685aaead2a02d3
https://doi.org/10.1016/j.amc.2014.08.002
https://doi.org/10.1016/j.amc.2014.08.002
Autor:
Antony Ware
Publikováno v:
SIAM Journal on Financial Mathematics. 4:427-451
We describe a semi-Lagrangian time-stepping algorithm for a particular class of stochastic optimal control problems, applicable to storage valuation problems. The discretization in time uses a semi-Lagrangian approach based on Strang splitting, and c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4747f435ff7e1f67066c4870a4caae18
https://doi.org/10.1137/110853546
https://doi.org/10.1137/110853546
Autor:
Antony Ware, Ilnaz Asadzadeh
Publikováno v:
Mathematical and Computational Approaches in Advancing Modern Science and Engineering ISBN: 9783319303772
In this paper we present an application of the use of autocopulas for modelling financial time series showing serial dependencies that are not necessarily linear. The approach presented here is semi-parametric in that it is characterized by a non-par
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e694e557fa729ca80bc001048563b38d
https://doi.org/10.1007/978-3-319-30379-6_52
https://doi.org/10.1007/978-3-319-30379-6_52
Publikováno v:
International Journal of Theoretical and Applied Finance. 14:957-977
Portfolio optimization under downside risk is of crucial importance to asset managers. In this article we consider one such particular measure given by the notion of Capital at Risk (CaR), closely related to Value at Risk. We consider portfolio optim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::776af0fb329a2ae8b26a61d988e5a250
https://doi.org/10.1142/s0219024911006802
https://doi.org/10.1142/s0219024911006802
Publikováno v:
SIAM Journal on Financial Mathematics. 2:748-767
In this paper we investigate portfolios consisting of instruments whose logarithms are mean-reverting. Under the assumption that portfolios are constant, we derive analytic expressions for the expected wealth and the quantile-based risk measure capit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::61ead9c8f690efd52e3735ef8ef8a875
https://doi.org/10.1137/100787714
https://doi.org/10.1137/100787714
Publikováno v:
Finance and Stochastics. 10:529-551
In this paper we investigate portfolio optimization in the Black–Scholes continuous-time setting under quantile based risk measures: value at risk, capital at risk and relative value at risk. We show that the optimization results are consistent wit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e20825647ee3995ff34404968594332d
https://doi.org/10.1007/s00780-006-0018-0
https://doi.org/10.1007/s00780-006-0018-0