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pro vyhledávání: '"Nohrouzian, Hossein"'
This contribution deals with an extension to our developed novel cubature methods of degrees 5 on Wiener space. In our previous studies, we have shown that the cubature formula is exact for all multiple Stratonovich integrals up to dimension equal to
Externí odkaz:
http://arxiv.org/abs/2204.10692
Autor:
Nohrouzian, Hossein
This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral m
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28415
Autor:
Nohrouzian, Hossein, Karlén, Anne
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furt
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-23511
Autor:
Karlén, Anne, Nohrouzian, Hossein
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furt
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-21951
Evolution of forward curves in the Heath–Jarrow–Morton framework by cubature method on Wiener space.
Autor:
Malyarenko, Anatoliy1, Nohrouzian, Hossein1
Publikováno v:
Communications in Statistics: Case Studies & Data Analysis. 2021, Vol. 7 Issue 4, p717-735. 19p.
Autor:
Nohrouzian, Hossein
Before the financial crisis started in 2007, there were no significant spreads between the forward rate curves constructed either using the market quotes of overnight indexed swaps or those of forward rate agreements. After the crisis, we observe suc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______258::321ba55b8dd44a625eff9fa61e742302
http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-60164
http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-60164