Zobrazeno 1 - 10
of 55
pro vyhledávání: '"Shin Ichi Aihara"'
Publikováno v:
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2012:229-234
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fce4c32c904ef0a81a822070e4b031b0
https://doi.org/10.5687/sss.2012.229
https://doi.org/10.5687/sss.2012.229
Autor:
Shin Ichi Aihara, Arunabha Bagchi
Publikováno v:
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2011:134-139
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c3f65666162a16d836d491cd476605dd
https://doi.org/10.5687/sss.2011.134
https://doi.org/10.5687/sss.2011.134
Autor:
Shin Ichi Aihara, Arunabha Bagchi
Publikováno v:
International journal of theoretical and applied finance, 13(2), 259-283. World Scientific Publishing Co. Pte Ltd
We consider a slight perturbation of the Hull-White short rate model and the resulting modified forward rate equation. We identify the model coefficients by using the martingale property of the normalized bond price. The forward rate and the system p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5c9996d027e163c2b33ef87f1c2e859e
http://eprints.eemcs.utwente.nl/secure2/22257/01/S0219024910005760.pdf
http://eprints.eemcs.utwente.nl/secure2/22257/01/S0219024910005760.pdf
Autor:
Shin Ichi Aihara, Arunabha Bagchi
Publikováno v:
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2009:354-359
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bcd8fde084028b808cebbdc373d5f8b2
https://doi.org/10.5687/sss.2009.354
https://doi.org/10.5687/sss.2009.354
Publikováno v:
IFAC Proceedings Volumes. 42:1457-1462
We consider a slight perturbation of the Schwartz-Smith model for the electricity futures prices and the resulting modified spot model. Using the martingale property of the modified price under the risk neutral measure, we derive the arbitrage free m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5af161639af7a8f88cbe04c44dc5d0a0
https://doi.org/10.3182/20090706-3-fr-2004.00243
https://doi.org/10.3182/20090706-3-fr-2004.00243
Publikováno v:
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2008:8-13
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a7d3c133debf622ee6a1ead38ec0a83
https://doi.org/10.5687/sss.2008.8
https://doi.org/10.5687/sss.2008.8
Autor:
Arunabha Bagchi, Shin Ichi Aihara
Publikováno v:
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2007:40-45
We consider the dynamics of forward rate process which is modeled by the parabolic type infinite-dimensional factor model. The parameters included in this parabolic model are estimated by using the yield curve as the observation data. In this paper,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8825e67ae89b4b79eec28b64eb6b4bfc
https://doi.org/10.5687/sss.2007.40
https://doi.org/10.5687/sss.2007.40
Autor:
Shin Ichi Aihara, Arunabha Bagchi
Publikováno v:
Journal of economic dynamics & control, 30(2/12):10.1016/j.jedc.2005.06.017, 2363-2388. Elsevier
We study the filtering problem for the stochastic volatility model of Heston by using the nonlinear estimation theory. To solve the estimation problem for the stochastic volatility process, we use the random time change method. The derived basic equa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7048ae74708c73ab59f8211b57fa4782
http://eprints.eemcs.utwente.nl/secure2/3760/01/bagchi.pdf
http://eprints.eemcs.utwente.nl/secure2/3760/01/bagchi.pdf
Autor:
Shin Ichi Aihara, Arunabha Bagchi
Publikováno v:
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2006:202-207
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5869661b8b1587e91dce0764ae934ec9
https://doi.org/10.5687/sss.2006.202
https://doi.org/10.5687/sss.2006.202
Publikováno v:
Applied mathematics and optimization, 70(3), 511-537. Springer
We consider the mean-variance hedging problem for pricing bond options using the yield curve as the observation. The model considered contains infinite-dimensional noise sources with the stochastically- varying risk premium. Hence our model is incomp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::47fe125ce2557be37030bb815e94e1f6
https://research.utwente.nl/en/publications/9aba9aef-9e8c-45f3-8e0d-3670e16ce94b
https://research.utwente.nl/en/publications/9aba9aef-9e8c-45f3-8e0d-3670e16ce94b
