Zobrazeno 1 - 10
of 37
pro vyhledávání: '"GRASSELLI, M. R."'
Autor:
Grasselli, M. R
We apply a utility-based method to obtain the value of a finite-time investment opportunity when the underlying real asset is not perfectly correlated to a traded financial asset. Using a discrete-time algorithm to calculate the indifference price fo
Externí odkaz:
http://arxiv.org/abs/math/0604302
Autor:
Grasselli, M. R.
We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a correlated traded
Externí odkaz:
http://arxiv.org/abs/math/0511234
Autor:
Grasselli, M. R., Hurd, T. R.
We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure volatility claims
Externí odkaz:
http://arxiv.org/abs/math/0404447
Autor:
Grasselli, M. R., Hurd, T. R.
Publikováno v:
Proc. R. Soc. A (2005) 461, 459\^A?"479
In this we paper we recast the Cox--Ingersoll--Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the ``squared Gaussian representation'' of the CIR model, we find a simple expr
Externí odkaz:
http://arxiv.org/abs/math/0307197
Autor:
Grasselli, M. R.
We show that, for each alpha in the interval (-1,1), the only Riemannian metrics on the space of positive definite matrices for which the alpha and -alpha-connections are mutually dual are matrix multiples fo the Wigner-Yanase-Dyson metric. If we fur
Externí odkaz:
http://arxiv.org/abs/math-ph/0212022
Autor:
Grasselli, M. R., Hurd, T. R.
Utility based methods provide a very general theoretically consistent approach to pricing and hedging of securities in incomplete financial markets. Solving problems in the utility based framework typically involves dynamic programming, which in prac
Externí odkaz:
http://arxiv.org/abs/math/0211383
Autor:
Grasselli, M. R., Streater, R. F.
Publikováno v:
Rep. Math. Phys., Vol. 50 (2002) No. 1, pp 13-40.
The methods of statistical dynamics are applied to a fluid with 5 conserved fields (the mass, the energy, and the three components of momentum) moving in a given external potential. When the potential is zero, we recover a previously derived system o
Externí odkaz:
http://arxiv.org/abs/math-ph/0204020
Autor:
Grasselli, M. R.
Publikováno v:
Annals of the Institute for Statistical Mathematics, 62, No 5, 873-896, 2010
We construct an infinite-dimensional information manifold based on exponential Orlicz spaces without using the notion of exponential convergence. We then show that convex mixtures of probability densities lie on the same connected component of this m
Externí odkaz:
http://arxiv.org/abs/math-ph/0104031
Autor:
Grasselli, M. R.
We present the construction of an infinite dimensional Banach manifold of quantum mechanical states on a Hilbert space H using different types of small perturbations of a given Hamiltonian. We provide the manifold with a flat connection, called the e
Externí odkaz:
http://arxiv.org/abs/math-ph/0007039
Autor:
Grasselli, M. R., Streater, R. F.
Publikováno v:
Inf. Dim. Analysis, Quantum Prob. (IDAQP), Vol. 4, No. 2 (2001) 173-182
We show that, in finite dimensions, the only monotone metrics for which the (+1) and (-1) affine connections are mutually dual are constant multiples of Bogoliubov-Kubo-Mori metric
Comment: Published version, includes comparison with related uni
Comment: Published version, includes comparison with related uni
Externí odkaz:
http://arxiv.org/abs/math-ph/0006030