Zobrazeno 1 - 10
of 33
pro vyhledávání: '"JACK BACZYNSKI"'
Publikováno v:
International Journal of Financial Studies, Vol 12, Iss 2, p 31 (2024)
We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional c
Externí odkaz:
https://doaj.org/article/7a7b5d0478b54f45a7b28a50d7b5ba0b
Publikováno v:
Economies, Vol 12, Iss 3, p 73 (2024)
Interest rate dynamics are influenced by various economic factors, and central bank meetings play a crucial role concerning this subject matter. This study introduces a novel approach to modeling interest rates, focusing on the impact of central bank
Externí odkaz:
https://doaj.org/article/6aed0e3ca65142fc9f3405b40b50737e
Autor:
JACK BACZYNSKI
[pt] Um método satisfatório para a caracterização de problemas não determinísticos é a identificação de modelos dinâmicos representativos destes problemas. Faz-se inicialmente uma análise comparativa quanto ao domínio, equivalência e ade
Publikováno v:
Pesquisa Operacional. 43
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2a352811363b360def6c5502c3b0b9cb
https://doi.org/10.1590/0101-7438.2023.043.00267882
https://doi.org/10.1590/0101-7438.2023.043.00267882
Autor:
JACK BACZYNSKI
Publikováno v:
Repositório Institucional da PUC_RIOPontifícia Universidade Católica do Rio de JaneiroPUC_RIO.
Um método satisfatório para a caracterização de problemas não determinísticos é a identificação de modelos dinâmicos representativos destes problemas. Faz-se inicialmente uma análise comparativa quanto ao domínio, equivalência e adequaç
Publikováno v:
Applied Stochastic Models in Business and Industry. 34:499-512
European options are a significant financial product. Barrier options, in turn, are European options with a barrier constraint. The investor may pay less buying the barrier option obtaining the same result as that of the European option whenever the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b126cfeb81ae4d635ee114cae186e622
https://doi.org/10.1002/asmb.2316
https://doi.org/10.1002/asmb.2316
Publikováno v:
Lecture Notes in Computer Science ISBN: 9783030227494
ICCS (5)
ICCS (5)
We derive numerical series representations for option prices on interest rate index for affine jump-diffusion models in a stochastic jump intensity framework with an adaptation of the Fourier-cosine series expansions method, focusing on the European
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c495903664feacba6f5b0a762fe9644f
https://doi.org/10.1007/978-3-030-22750-0_69
https://doi.org/10.1007/978-3-030-22750-0_69
Publikováno v:
Journal of Computational and Applied Mathematics. 297:98-116
We propose a second order accurate numerical finite difference method to replace the classical schemes used to solve PDEs in financial engineering. We name it Modified Fully Implicit method. The motivation for doing so stems from the accuracy loss wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::42c228342c96252255313991c64262e3
https://doi.org/10.1016/j.cam.2015.10.025
https://doi.org/10.1016/j.cam.2015.10.025
Publikováno v:
CDC
We devised a method for pricing path dependent derivatives whose theory is new. It is based on a time and value discretization of the interest rate process, in conjunction with prices of Arrow-Debreu securities with unitary lifetime obtained via the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1df48cfa179429530771c14b986df092
https://doi.org/10.1109/cdc.2017.8264105
https://doi.org/10.1109/cdc.2017.8264105
Publikováno v:
CDC
We obtain closed-form expressions for the exact no-arbitrage prices, as well as estimates, of some types of multivariate barrier options. A novelty for the estimates is that we combine ideas of convex analysis with tools of stochastic theory. The com
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::89edd27089321a4278f33e5421226e49
https://doi.org/10.1109/cdc.2017.8264106
https://doi.org/10.1109/cdc.2017.8264106