Výsledky vyhledávání - "R C, Buckley"

Portfolio optimization when asset returns have the Gaussian mixture distribution

Autor: David Saunders, I. R. C. Buckley, Luis Seco

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

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Option price calibration from Rényi entropy

Autor: Dorje C. Brody, I. R. C. Buckley, Irene C. Constantinou

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

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Short note Successive approximation in pattern analysis

Autor: R. C. Buckley

Publikováno v: Australian Journal of Ecology. 8:333-337

The analysis of vegetation pattern in semi-arid eucalypt woodland by Harrington et al, (1981), and its recent critique by Dale (1982), place insufficient emphasis on the important role of successive approximation in pattern analysis. A single stage a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::7522cc4da3dd3139ca00d302f29f9a00
https://doi.org/10.1111/j.1442-9993.1983.tb01330.x

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Entropic calibration revisited

Autor: Irene C. Constantinou, Dorje C. Brody, I. R. C. Buckley, Bernhard K. Meister

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

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Preposterior analysis for option pricing

Autor: Bernhard K. Meister, I. R. C. Buckley, Dorje C. Brody

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

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Optimal Index Tracking Under Transaction Costs and Impulse Control

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

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The linkage isomerism of bridging thiocyanate in binuclear complexes

Autor: R. C. Buckley, J. G. Wardeska

Publikováno v: Inorganic chemistry. 11(12)

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e1cc4fd2ae041532a42a1c388964a6d5
https://pubmed.ncbi.nlm.nih.gov/22462802

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δexpansion of theO(N)×O(N)-invariantφ2χ2theory

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

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δexpansion applied to strong-coupling Z(2), U(1), and SU(2) gauge theory on the lattice in four dimensions

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

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Interpolating Lagrangians and SU(2) gauge theory on the lattice

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

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