Zobrazeno 1 - 10
of 124
pro vyhledávání: '"Applied mathematical finance"'
Publikováno v:
Quantitative Finance, 9, 3, 279-287
This paper provides a two-factor model for electricity futures, which captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor-model of Clewlow and Strickland to a two-factor model and mo
Externí odkaz:
http://www.ssoar.info/ssoar/handle/document/22123
Autor:
Henry-Labordere, Pierre
Publikováno v:
Quantitative Finance, 7, 5, 525-535
In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying the one-dime
Externí odkaz:
http://www.ssoar.info/ssoar/handle/document/22095
Autor:
Robert J. Elliott, Reza Bradrania
We consider a discrete time pairs trading model which includes regime changes in the dynamics. The prices of the pair of assets, and so their difference or spread, depend on the state of the market, which in turn is modelled by a finite state Markov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bd19e10cdae3bdb41c48bd772fe58b9e
https://hdl.handle.net/11541.2/130147
https://hdl.handle.net/11541.2/130147
Akademický článek
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Akademický článek
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Autor:
Timofei Bogomolov
This research proposes a new non-parametric approach to pairs trading based on renko and kagi constructions which originated from Japanese charting indicators and were introduced to academic studies by Pastukhov. The method exploits statistical infor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::83e4d705887dd4519a24e0022f897016
https://hdl.handle.net/1959.8/153436
https://hdl.handle.net/1959.8/153436
Publikováno v:
International Journal of Financial Engineering, 3(1)
This paper describes an American Monte Carlo approach for obtaining fast and accurate exercise policies for pricing of callable LIBOR Exotics (e.g., Bermudan swaptions) in the LIBOR market model using the Stochastic Grid Bundling Method (SGBM). SGBM
Publikováno v:
Quantitative Finance
This paper provides a two-factor model for electricity futures, which captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor-model of Clewlow and Strickland to a two-factor model and mo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a8b378efcdefec3514c1a44da7e650a7
Autor:
Pierre Henry-Labordere
Publikováno v:
Quantitative Finance
In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying the one-dime
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d454227e4c427bd93620ef2e298f578d
http://arxiv.org/abs/cond-mat/0511028
http://arxiv.org/abs/cond-mat/0511028
Akademický článek
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