Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Martin Le Doux Mbele Bidima"'
Publikováno v:
International Journal of Mathematics and Mathematical Sciences, Vol 2019 (2019)
In this paper, we consider the Schwartz’s one-factor model for a storable commodity and a futures contract on that commodity. We introduce the analysis of asymptotic arbitrage in storable commodity models by proving that the futures prices process
Externí odkaz:
https://doaj.org/article/42a225e7cc2040b8a93f770622ec9527
Publikováno v:
Journal of Applied Mathematics, Vol 2019 (2019)
After the dawn of the August 2007 financial crisis, banks became more aware of financial risk leading to the appearance of nonnegligible spreads between LIBOR and OIS rates and also between LIBOR of different tenors. This consequently led to the birt
Externí odkaz:
https://doaj.org/article/be761390b0b6412083d33aef915e425e
Publikováno v:
Advances in Fuzzy Systems, Vol 2019 (2019)
In this article, we are interested in developing an alternative estimation method of the parameters of the hybrid log-Poisson regression model. In our previous paper, we have proposed a hybrid log-Poisson regression model where we have derived the an
Externí odkaz:
https://doaj.org/article/313c00a7573d416f8625919752883b9f
Publikováno v:
Journal of Mathematical Finance. :698-725
Interest rate derivatives form part of the largest portion of traded financial instruments. Hence, it is important to have models that describe their dynamics accurately. This study aims at pricing quanto caps and floors using the multi-curve cross-c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5024d55fd134489b583ccde6e06030c2
https://doi.org/10.4236/jmf.2019.94036
https://doi.org/10.4236/jmf.2019.94036
Publikováno v:
Advances in Fuzzy Systems, Vol 2019 (2019)
In this article, we are interested in developing an alternative estimation method of the parameters of the hybrid log-Poisson regression model. In our previous paper, we have proposed a hybrid log-Poisson regression model where we have derived the an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::273a3609fbeea6dfa954bb53260ff17f
Publikováno v:
Annals of Operations Research. 200:131-146
A discrete-time infinite horizon stock market model is considered where the logarithm of the price is assumed to be a Markov chain arising from the time-discretization of a stochastic differential equation.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dde149fac184a7fcee62fd58fcd03fc3
https://doi.org/10.1007/s10479-011-0892-5
https://doi.org/10.1007/s10479-011-0892-5
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9bb9603a689235fedfc744d9ce589775
http://arxiv.org/abs/1406.5312
http://arxiv.org/abs/1406.5312
