Zobrazeno 1 - 9
of 9
pro vyhledávání: '"I. R. C. Buckley"'
Publikováno v:
European Journal of Operational Research. 185:1434-1461
In this paper we consider a portfolio optimization problem where the underlying asset returns are distributed as a mixture of two multivariate Gaussians; these two Gaussians may be associated with “distressed” and “tranquil” market regimes. I
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9c8aba8f2159a823751f080fc2ecd593
https://doi.org/10.1016/j.ejor.2005.03.080
https://doi.org/10.1016/j.ejor.2005.03.080
Publikováno v:
Physics Letters A. 366:298-307
The calibration of the risk-neutral density function for the future asset price, based on the maximisation of the entropy measure of Renyi, is proposed. Whilst the conventional approach based on the use of logarithmic entropy measure fails to produce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4275b06108da28f42789592035eb00d5
https://doi.org/10.1016/j.physleta.2007.01.088
https://doi.org/10.1016/j.physleta.2007.01.088
Publikováno v:
Physics Letters A. 337:257-264
The entropic calibration of the risk-neutral density function is effective in recovering the strike dependence of options, but encounters difficulties in determining the relevant greeks. By use of put-call reversal we apply the entropic method to the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4c93eadc864d23dcf3d085efdd4334d7
https://doi.org/10.1016/j.physleta.2005.01.076
https://doi.org/10.1016/j.physleta.2005.01.076
Publikováno v:
Quantitative Finance. 4:465-477
The second partial derivative of a European-style vanilla option with respect to the current price of the underlying asset—the option gamma—defines a probability density function for the current underlying price. By use of entropy maximization it
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a76c55088028444c4aa030296ff775a1
https://doi.org/10.1080/14697680400008676
https://doi.org/10.1080/14697680400008676
Autor:
Ralf Korn, I. R. C. Buckley
Publikováno v:
International Journal of Theoretical and Applied Finance. :315-330
We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e6839ddc695a5a1a7b3dd6f3c24310b2
https://doi.org/10.1142/s0219024998000187
https://doi.org/10.1142/s0219024998000187
Autor:
Sunil K. Gandhi, I. R. C. Buckley
Publikováno v:
Physical Review D. 45:2911-2915
Using the linear {delta} expansion we calculate the effective potential of the O({ital N}){times}O({ital N})-invariant {phi}{sup 2}{chi}{sup 2} theory, in 3 dimensions, to first order in {delta}. The {phi}{sub {ital a}} and {chi}{sub {ital a}} each r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c7b157ba3cab059cf40b1864935b2926
https://doi.org/10.1103/physrevd.45.2911
https://doi.org/10.1103/physrevd.45.2911
Autor:
I. R. C. Buckley, Hugh F. Jones
Publikováno v:
Physical Review D. 45:2073-2080
We generalize to four dimensions the linear $\ensuremath{\delta}$ expansion applied to gauge theory on the lattice, with Z(2), U(1), and SU(2) as the gauge groups and an unperturbed action appropriate to the strong-coupling regime. The calculation is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4097e73815255d38af434f5624811949
https://doi.org/10.1103/physrevd.45.2073
https://doi.org/10.1103/physrevd.45.2073
Autor:
Hugh F. Jones, I. R. C. Buckley
Publikováno v:
Physical Review D. 45:654-664
We apply the linear {delta} expansion to non-Abelian gauge theory on the lattice, with SU(2) as the gauge group. We establish an appropriate parametrization and evaluate the average plaquette energy {ital E}{sub {ital P}} to {ital O}({delta}). As a c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::521d3947760bcfefdd405274f189a06c
https://doi.org/10.1103/physrevd.45.654
https://doi.org/10.1103/physrevd.45.654
Publikováno v:
Physical review. D, Particles and fields. 47(6)
The convergence of the linear \ensuremath{\delta} expansion is studied in the context of the integral I:=${\mathcal{F}}_{\mathrm{\ensuremath{-}}\mathrm{\ensuremath{\infty}}}^{\mathrm{\ensuremath{\infty}}}$${\mathit{e}}^{\mathrm{\ensuremath{-}}\mathit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::daac3e482708c3c030802551628a0d45
https://pubmed.ncbi.nlm.nih.gov/10015850
https://pubmed.ncbi.nlm.nih.gov/10015850