Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Dennis Ikpe"'
Publikováno v:
Journal of Applied Mathematics, Vol 2023 (2023)
This paper investigates the dynamics of systemic risk in banking networks by analyzing equilibrium points and stability conditions. The focus is on a model that incorporates interactions among distressed and undistressed banks. The equilibrium points
Externí odkaz:
https://doaj.org/article/8a5d9bd609fd48b9852a26e9787c069b
Publikováno v:
AIMS Mathematics, Vol 4, Iss 4, Pp 1274-1290 (2019)
In this paper, geographical basis risk in weather derivative design and pricing is mitigated by using spatial-temporal pricing models. A two-state regime-switching temperature model is constructed and extended to multi-dimensional locations that are
Externí odkaz:
https://doaj.org/article/95b78d5a68c844a49548d6eae19701f9
Publikováno v:
Mathematical and Computational Applications, Vol 24, Iss 3, p 71 (2019)
The effects of weather on agriculture in recent years have become a major global concern. Hence, an effective weather risk management tool (i.e., weather derivatives) that can hedge crop yields against weather uncertainties is needed. However, most s
Externí odkaz:
https://doaj.org/article/243cb1de315b4cac94d0f119c5e6ac72
Publikováno v:
International Journal of Financial Engineering. 10
In this paper, a time-consistent and arbitrage-free state space for the one-, two-, and three-factor Vasicek models for long-term bonds is constructed. To account for the uncertainty in long-term bond yields, we propose a stochastic time-dependent me
Publikováno v:
Journal of Differential Equations. 303:214-252
We consider a susceptible, infected, and recovered infectious disease model which incorporates a vaccination rate. In particular, we study the problem of choosing the vaccination rate in order to reduce the number of infected individuals to a given t
Publikováno v:
International Journal of Financial Engineering.
In most financial markets, prices for long-maturity derivatives are not readily available due to illiquidity. This reality is particularly common in bond markets, as it is very challenging to model prices consistently—for medium-to-long-term bonds
Publikováno v:
Journal of Mathematical Analysis and Applications. 505:125507
We consider the SIR model and study the first time the number of infected individuals begins to decrease and the first time this population is below a given threshold. We interpret these times as functions of the initial susceptible and infected popu
Publikováno v:
Journal of Mathematical Finance. :562-575
This paper evaluates the use of modeling approach that depends on Levy jump model to predict investors wealth under inefficiencies in the market, in terms of mispricing and asymmetric information where the traded stock or risky asset price is conside
Publikováno v:
International Journal of Bonds and Derivatives. 4:236
We construct a time-consistent and arbitrage-free three-factor Vasicek model for long-term bonds. A new methodology based on a stochastic mean reversion rate which captures uncertainty in long-term bond yields is presented. To allow measurement error
Publikováno v:
International Journal of Financial Engineering. :2050049
In this paper, we develop a pricing model for weather derivatives at a single location and multiple locations. In the first model, a Lévy regime-switching temperature model for a single location is used to price futures written on cumulative average