Zobrazeno 1 - 10
of 47
pro vyhledávání: '"Philip Ngare"'
Publikováno v:
Journal of Probability and Statistics, Vol 2023 (2023)
The explosion of time series count data with diverse characteristics and features in recent years has led to a proliferation of new analysis models and methods. Significant efforts have been devoted to achieving flexibility capable of handling comple
Externí odkaz:
https://doaj.org/article/2da2f87a22734ff4bbb1b03d96be892a
Publikováno v:
Results in Applied Mathematics, Vol 14, Iss , Pp 100272- (2022)
In this article, we propose a new methodology based on stochastic optimal control problems, to solve the revenue and exploitation issues of the cashew nut sector in Senegal (West Africa). First, we reviewed some underlying tools from stochastic calcu
Externí odkaz:
https://doaj.org/article/eb4b6337205046309b6369f89be8fb6f
Publikováno v:
Scientific African, Vol 13, Iss , Pp e00958- (2021)
In this article, we seek to solve the problem of stochastic filtering of the unobserved drift of the stock price in the presence of privileged information. Working within a finite time investment horizon, the privileged information which is a functio
Externí odkaz:
https://doaj.org/article/d937adbcea6f45b5a922b37325b32b70
Publikováno v:
AIMS Mathematics, Vol 4, Iss 4, Pp 1274-1290 (2019)
In this paper, geographical basis risk in weather derivative design and pricing is mitigated by using spatial-temporal pricing models. A two-state regime-switching temperature model is constructed and extended to multi-dimensional locations that are
Externí odkaz:
https://doaj.org/article/95b78d5a68c844a49548d6eae19701f9
Publikováno v:
International Journal of Mathematics and Mathematical Sciences, Vol 2021 (2021)
This article deals with Wishart process which is defined as matrix generalization of a squared Bessel process. We consider a single risky asset pricing model whose volatility is described by Wishart affine diffusion processes. The multifactor volatil
Externí odkaz:
https://doaj.org/article/6e10a82b423b48bda2394cd0fb939596
Publikováno v:
Journal of Mathematics, Vol 2021 (2021)
This study deals with a single risky asset pricing model whose volatility is described by Wishart affine processes. This multifactor model with two dependency matrices describing the correlation between the asset dynamic and Wishart processes makes i
Externí odkaz:
https://doaj.org/article/83c8f382f1ab49b19cfad5d5b157dcec
Publikováno v:
Scientific African, Vol 10, Iss , Pp e00564- (2020)
Diversification of assets by an investor offers reduced exposure to risk compared to investing in a single asset. A multi-asset option gives an investor this advantage as its payout depends on the overall performance of several underlying assets. Thi
Externí odkaz:
https://doaj.org/article/1bcc71456d55445eafd7e2b6099a1fdb
Publikováno v:
Scientific African, Vol 8, Iss , Pp e00365- (2020)
Rainfall and temperature remain the two major climatic parameters influencing agriculture productivity, meteorology and weather related industries. It is known that accurate analysis and simulation of temperature and rainfall processes is difficult d
Externí odkaz:
https://doaj.org/article/378dc458fc254953b65d93b339b12828
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:
Journal of Applied Mathematics, Vol 2019 (2019)
We investigate the filtering problem where the borrower’s time varying credit quality process is estimated using continuous time observation process and her (in this paper we refer to the borrower as female and the lender as male) ego-network data.
Externí odkaz:
https://doaj.org/article/a1133cb3b9ea41ffaf416a3c39a7ebaf