Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Farzad Alavi Fard"'
Optimal overbooking strategies in the airlines using dynamic programming approach in continuous time
Publikováno v:
Transportation Research Part E: Logistics and Transportation Review. 128:384-399
We propose a novel approach to solve the long-standing challenge of airline overbooking management. We solve the problem using dynamic programming with an industrial setting characterised as near-to-perfect competition where airlines strategically ov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c43f9960f5fbe354f53a3d0c7e98191d
https://doi.org/10.1016/j.tre.2019.07.001
https://doi.org/10.1016/j.tre.2019.07.001
Publikováno v:
International Journal of Production Economics. 211:154-165
We develop a continuous time Newsvendor model to determine the optimal inventory level for commodities in an established financial market. Unlike most models in literature, the newsvendor is not necessarily risk-neutral and chooses the order quantity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4b32c71e5c64393eb2ab2413be16f99d
https://doi.org/10.1016/j.ijpe.2019.01.018
https://doi.org/10.1016/j.ijpe.2019.01.018
Publikováno v:
Energy Economics. 78:143-164
We consider the problem of modelling and forecasting the distribution of a vector of prices from interconnected electricity markets using a flexible class of drawable vine copula models, where we allow the dependence parameters of the constituting bi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ff3b5e90bc13b61c96e5e471fb13e05f
https://doi.org/10.1016/j.eneco.2018.10.034
https://doi.org/10.1016/j.eneco.2018.10.034
Publikováno v:
Journal of Risk and Financial Management, Vol 14, Iss 97, p 97 (2021)
Journal of Risk and Financial Management
Volume 14
Issue 3
Journal of Risk and Financial Management
Volume 14
Issue 3
In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a88198c3582fb666fbed32be5e4c96f
https://www.mdpi.com/1911-8074/14/3/97
https://www.mdpi.com/1911-8074/14/3/97
Publikováno v:
Algorithmic Finance. 7:15-30
We provide a non-parametric method for stochastic volatility modelling. Our method allows the implied volatility to be governed by a general Levy-driven Ornstein–Uhlenbeck process, the density function of which is hidden to market participants. Usi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f70bc418927b471f8935f75b2d3ee10
https://doi.org/10.3233/af-180200
https://doi.org/10.3233/af-180200
Publikováno v:
Economic Modelling. 53:63-74
We present an intuitive model of systemic risk to analyse the complex interdependencies between different borrowers. We characterise systemic risk by the way that financial institutions are interconnected. Using their probability of default, we class
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c18d19e815a3aaf32afa9ce40ca00c82
https://doi.org/10.1016/j.econmod.2015.11.010
https://doi.org/10.1016/j.econmod.2015.11.010
Autor:
Farzad Alavi Fard
Publikováno v:
Insurance: Mathematics and Economics. 60:19-28
In this paper we propose a model to price European vulnerable options. We formulate their credit risk in a reduced form model and the dynamics of the spot price in a completely random generalized jump–diffusion model, which nests a number of import
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7129a1f6b7a5481f22ad4d50594f2a47
https://doi.org/10.1016/j.insmatheco.2014.10.007
https://doi.org/10.1016/j.insmatheco.2014.10.007
We propose a model for the valuation of participating life insurance products under the Meixner process, which belongs to the family of semi-heavy tailed processes. This particular model assumption is extremely desirable as it captures the stylised f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b980a8633a382a04a43b24c65466a1f
https://hdl.handle.net/11541.2/124206
https://hdl.handle.net/11541.2/124206
Autor:
Farzad Alavi Fard, Tak Kuen Siu
Publikováno v:
Insurance: Mathematics and Economics. 53:712-721
We propose a model for the valuation of participating life insurance products under a generalized jump–diffusion model with a Markov-switching compensator. The Esscher transform is employed to determine an equivalent martingale measure in the incom
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::02dbc5df9c0374fc884c547ae0036de0
https://doi.org/10.1016/j.insmatheco.2013.09.011
https://doi.org/10.1016/j.insmatheco.2013.09.011
Autor:
Farzad Alavi Fard, Ning Rong
Publikováno v:
Annals of Finance. 10:315-332
We propose a model for valuing ruin contingent life annuities under the regime-switching variance gamma process. The Esscher transform is employed to determine the equivalent martingale measure. The PIDE approach is adopted for the pricing formulatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8254157a9d602560f762fc8ac448f1e6
https://doi.org/10.1007/s10436-013-0239-0
https://doi.org/10.1007/s10436-013-0239-0