Zobrazeno 1 - 10
of 69
pro vyhledávání: '"Chiarolla, Maria B."'
Autor:
Chiarolla, Maria B.
Aiming at studying the investment exercise boundary, this paper devises a way to apply the Bank and El Karoui Representation Theorem to a quite general stochastic, continuous time capacity expansion problem with irreversible investment on the finite
Externí odkaz:
http://arxiv.org/abs/2209.09878
We perform a detailed theoretical study of the value of a class of participating policies with four key features: $(i)$ the policyholder is guaranteed a minimum interest rate on the policy reserve; $(ii)$ the contract can be terminated by the holder
Externí odkaz:
http://arxiv.org/abs/2004.06982
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at a random t
Externí odkaz:
http://arxiv.org/abs/1409.0665
Publikováno v:
Stochastic Processes and their Applications 125 (2015) 678-707
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forward interest rates. First we show regularity properties of the price f
Externí odkaz:
http://arxiv.org/abs/1212.0781
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming
Externí odkaz:
http://arxiv.org/abs/1203.3757
Autor:
Chiarolla, Maria B., Ferrari, Giorgio
We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondecreasing process representing the cumulative investment. The firm aims
Externí odkaz:
http://arxiv.org/abs/1108.4886
Autor:
Chiarolla, Maria B.1 (AUTHOR), De Angelis, Tiziano2,3 (AUTHOR) tiziano.deangelis@unito.it, Stabile, Gabriele4 (AUTHOR)
Publikováno v:
Finance & Stochastics. Apr2022, Vol. 26 Issue 2, p173-216. 44p.
Publikováno v:
In Stochastic Processes and their Applications February 2015 125(2):678-707
Publikováno v:
Mathematics of Operations Research, 2005 Feb 01. 30(1), 91-108.
Externí odkaz:
https://www.jstor.org/stable/25151641
Autor:
Chiarolla, Maria B. *, Haussmann, Ulrich G.
Publikováno v:
In Journal of Mathematical Economics 2001 35(2):311-346