Zobrazeno 1 - 10
of 64
pro vyhledávání: '"Carlo Sgarra"'
Publikováno v:
Annals of Operations Research.
Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets, where Asian options are very popular. We propose a model which takes into account all these stylized f
Autor:
Emanuela Rosazza Gianin, Carlo Sgarra
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
Given a stochastic process (V t ) t≥0 having trajectories with bounded variation and a sufficiently regular function f, it is possible to define the integral of Z t = f(V t ) with respect to dV t as follows $$ \int_0^t {Z_s dV_s = \int_0^t {f\left(
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::52845956fbeed7751a60ce457f1f506f
https://doi.org/10.1007/978-3-031-28378-9_5
https://doi.org/10.1007/978-3-031-28378-9_5
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
Let u be a function of several real variables (t, x 1, x 2, …, x n ): $$ \begin{gathered} u:\mathbb{R}^ + \times \mathbb{R}^n \quad \,\, \to \mathbb{R} \hfill \\ \left( {t,x_1 ,x_2 , \ldots ,x_n } \right) \mapsto u\left( {t,x_1 ,x_2 , \ldots ,x_n }
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ebe3f3ff3ffc74cf652135a730695b7
https://doi.org/10.1007/978-3-031-28378-9_6
https://doi.org/10.1007/978-3-031-28378-9_6
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
We restrict our interest to one-period models, and in this case the “portfolio”, which we are going to define formally below, is characterized through its composition at the initial time, and the returns of different assets are assumed to be rand
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::095db7ae0fccb3f43253f016e63113d8
https://doi.org/10.1007/978-3-031-28378-9_2
https://doi.org/10.1007/978-3-031-28378-9_2
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
As in the previous chapters, we consider a market model consisting in two assets: one non-risky (bond), the other risky (stock). While before we focused on discrete-time market models, here we introduce the so-called Black-Scholes model : a well-know
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d40166da9b61f16a3d8b089036b6afe6
https://doi.org/10.1007/978-3-031-28378-9_7
https://doi.org/10.1007/978-3-031-28378-9_7
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
Given a probability space (Ω, \( \mathcal{F} \), P), where Ω denotes a non-empty set, \( \mathcal{F} \) a σ-algebra and P a probability measure on Ω: A random variable (r.v.) is a function X : Ω → ℝ such that {ω ∈ Ω : X (ω) ∈ A} ∈ F
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6c26aa8f0caffaca47ea10847d18de2b
https://doi.org/10.1007/978-3-031-28378-9_1
https://doi.org/10.1007/978-3-031-28378-9_1
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
In the following, we consider a market model where a non-risky asset (called bond) and a risky asset (called stock) are available. The bond price is denoted by B, while the stock price is denoted by S.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c5593f94791f7e70f8ade494e23ca80b
https://doi.org/10.1007/978-3-031-28378-9_3
https://doi.org/10.1007/978-3-031-28378-9_3
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
Mathematical Finance: Theory Review and Exercises
UNITEXT ISBN: 9783319013565
Mathematical Finance: Theory Review and Exercises
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::97795ef676a236dcab505be2c6c9809e
https://doi.org/10.1007/978-3-031-28378-9
https://doi.org/10.1007/978-3-031-28378-9
Autor:
Carlo Sgarra, Emanuela Rosazza Gianin
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
In the following, we recall the notions of arbitrage, completeness and option pricing in quite general one-period (or multi-period) market models, but always based on a finite sample space.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e64eae43d9085411322f1d72c641d8b7
https://doi.org/10.1007/978-3-031-28378-9_4
https://doi.org/10.1007/978-3-031-28378-9_4
Autor:
Emanuela Rosazza Gianin, Carlo Sgarra
Publikováno v:
UNITEXT ISBN: 9783031283772
UNITEXT ISBN: 9783319013565
UNITEXT ISBN: 9783319013565
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf572949205afae0d3b15f61b28aac08
https://doi.org/10.1007/978-3-031-28378-9_9
https://doi.org/10.1007/978-3-031-28378-9_9