Zobrazeno 1 - 10
of 40
pro vyhledávání: '"Sanae Rujivan"'
Autor:
Sanae Rujivan, Nopporn Thamrongrat
Publikováno v:
Heliyon, Vol 8, Iss 10, Pp e11068- (2022)
This paper derives a closed-form expansion for the conditional expectation of a continuous-time stochastic process, given by Vt,T:=e−∫tTg(vs)dsf(vT) for 0≤t≤T, where vt evolves according to the extended Cox-Ingersoll-Ross process, for any C
Externí odkaz:
https://doaj.org/article/c16ec2c4cb8146caa04f6ad270fc8c8f
Autor:
Kiattisak Prathom, Sanae Rujivan
Publikováno v:
Songklanakarin Journal of Science and Technology (SJST), Vol 43, Iss 4, Pp 936-947 (2021)
This paper investigates solutions of a recurrence differential equation (RDE) of the form: ' 1 1 1 ' 2 2 2 2 1 ' 2 2 2 2 1 2 ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ), k k k k k k k A t a A t A t a A t b A t A t a A t b A t c A t + + + + + +
Externí odkaz:
https://doaj.org/article/29a5c565050541f6b2794e6dcb6ad325
Autor:
Nopporn Thamrongrat, Sanae Rujivan
Publikováno v:
Songklanakarin Journal of Science and Technology (SJST), Vol 43, Iss 4, Pp 987-992 (2021)
This paper presents an analytical formula for pricing interest rate swaps (IRSs) in terms of bond prices in which the interest rates are assumed to follow the extended Cox-Ingersoll-Ross model. Furthermore, we analytically investigate some asymptot
Externí odkaz:
https://doaj.org/article/e6e4c1e8bce9472187f8c92cccf924f9
Publikováno v:
Songklanakarin Journal of Science and Technology (SJST), Vol 42, Iss 4, Pp 836-843 (2020)
This paper derives a simple closed-form formula for the n th conditional moment of the Ornstein-Uhlenbeck (O-U) process, for any positive integer n. The system of recursive ordinary differential equations (ODEs) associated with the n th condition
Externí odkaz:
https://doaj.org/article/67aee79c73fa45a690eb0f80ab19e85c
Autor:
Nopporn Thamrongrat, Sanae Rujivan
Publikováno v:
Songklanakarin Journal of Science and Technology (SJST), Vol 42, Iss 2, Pp 424-429 (2020)
This paper is an extension to a recent paper by Rujivan (2016), in which we derive a closed-form formula for the conditional expectation of the valuation process, defined by , : T s
Externí odkaz:
https://doaj.org/article/058b23918144464881e68a10f88c1b32
Publikováno v:
Mathematics, Vol 11, Iss 5, p 1276 (2023)
This paper focuses mainly on the problem of computing the γth, γ>0, moment of a random variable Yn:=∑i=1nαiXi in which the αi’s are positive real numbers and the Xi’s are independent and distributed according to noncentral chi-square distri
Externí odkaz:
https://doaj.org/article/0013b0f5e9404b55af319c90e694da51
Autor:
Sanae Rujivan
Publikováno v:
Communications in Mathematical Sciences. 19:111-146
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b03537a46a075548db3c28455b501015
https://doi.org/10.4310/cms.2021.v19.n1.a5
https://doi.org/10.4310/cms.2021.v19.n1.a5
Publikováno v:
Research in the Mathematical Sciences. 9
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da112bb74c13bd420138f05bc19eca45
https://doi.org/10.1007/s40687-021-00309-9
https://doi.org/10.1007/s40687-021-00309-9
Autor:
Sanae Rujivan
Publikováno v:
Journal of Computational and Applied Mathematics. 418:114672
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::767a83522a0b99d7e39b15cfb5855140
https://doi.org/10.1016/j.cam.2022.114672
https://doi.org/10.1016/j.cam.2022.114672
Publikováno v:
Applied Mathematics and Computation. 428:127213
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9de5b35d3005cb26a6ff628044887c2b
https://doi.org/10.1016/j.amc.2022.127213
https://doi.org/10.1016/j.amc.2022.127213