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  • Articles  (79,345)
  • 2005-2009  (79,345)
  • Mathematics  (79,345)
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  • 1
    Electronic Resource
    Electronic Resource
    A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We give an example of a subspace Kof 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI215:MAFI_215_mu1" location="equation/MAFI_215_mu1.gif"/〉 such that 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI215:MAFI_215_mu2" location="equation/MAFI_215_mu2.gif"/〉, where 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI215:MAFI_215_mu3" location="equation/MAFI_215_mu3.gif"/〉 denotes the closure with respect to convergence in probablity. On the other hand, the cone C≔K−L∞+ is dense in L∞ with respect to the weak-star topology σ(L∞, L1). This example answers a question raised by I. Evstigneev. The topic is motivated by the relation of the notion of no arbitrage and the existence of martingale measures in Mathematical Finance.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00215.x
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  • 2
    Electronic Resource
    Electronic Resource
    OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper extends the work of Ross (1976; Q. J. Econ. (90)1, 75–89) to multidate security markets. First, we show that if a primitive security separates states at the terminal date, then there exist multiperiod European options on that security generating dynamically complete markets. Second, we show that if a primitive security conditionally separates states at the terminal date, then there exist multiperiod European options on that security generating generically dynamically complete markets provided that certain conditions hold. Third, we show that there are economies for which the minimum number of multiperiod European options on a primitive security generating generically dynamically complete markets is relatively large. Finally, we show that in these economies, a relatively small number of multiperiod European options on possibly different portfolio strategies of primitive securities generates generically dynamically complete markets.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00251.x
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  • 3
    Electronic Resource
    Electronic Resource
    A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A representation result is provided for concave Schur concave functions on L∞(Ω). In particular, it is proven that any monotone concave Schur concave weakly upper semicontinuous function is the infinimum of a family of nonnegative affine combinations of Choquet integrals with respect to a convex continuous distortion of the underlying probability. The method of proof is based on the concave Fenchel transform and on Hardy and Littlewood's inequality. Under the assumption that the probability space is nonatomic, concave, weakly upper semicontinuous, law-invariant functions are shown to coincide with weakly upper semicontinuous concave Schur concave functions. A representation result is, thus, obtained for weakly upper semicontinuous concave law-invariant functions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00253.x
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  • 4
    Electronic Resource
    Electronic Resource
    CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar amounts, rather than the proportions of wealth, allocated in individual stocks. The problem is completely solved using a decomposition approach. Specifically, a (constrained) variance minimizing problem is formulated and its feasibility is characterized. Then, after a system of equations for two Lagrange multipliers is solved, variance minimizing portfolios are derived as the replicating portfolios of some contingent claims, and the variance minimizing frontier is obtained. Finally, the efficient frontier is identified as an appropriate portion of the variance minimizing frontier after the monotonicity of the minimum variance on the expected terminal wealth over this portion is proved and all the efficient portfolios are found. In the special case where the market coefficients are deterministic, efficient portfolios are explicitly expressed as feedback of the current wealth, and the efficient frontier is represented by parameterized equations. Our results indicate that the efficient policy for a mean-variance investor is simply to purchase a European put option that is chosen, according to his or her risk preferences, from a particular class of options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00218.x
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  • 5
    Electronic Resource
    Electronic Resource
    ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies the relative error in the crude Monte Carlo pricing of some familiar European path-dependent multiasset options. For the crude Monte Carlo method it is well known that the convergence rate O(n−1/2), where n is the number of simulations, is independent of the dimension of the integral. This paper also shows that for a large class of pricing problems in the multiasset Black-Scholes market the constant in O(n−1/2) is independent of the dimension. To be more specific, the constant is only dependent on the highest volatility among the underlying assets, time to maturity, and degree of confidence interval.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00222.x
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  • 6
    Electronic Resource
    Electronic Resource
    UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we investigate growth optimal investment in two-asset discrete-time markets with proportional transaction costs and no distributional assumptions on the market return sequences. We construct a policy with growth rate at least as large as any interval policy. Since interval policies are ε-optimal for independent and identically distributed (i.i.d.) markets (Iyengar 2002), it follows that our policy when employed in an i.i.d. market is able to “learn” the optimal interval policy and achieve growth optimality; in other words, it is a universal growth optimal policy for i.i.d. markets.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00223.x
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  • 7
    Electronic Resource
    Electronic Resource
    A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We present here the quantization method which is well-adapted for the pricing and hedging of American options on a basket of assets. Its purpose is to compute a large number of conditional expectations by projection of the diffusion on optimal grids designed to minimize the (square mean) projection error (Graf and Luschgy 2000). An algorithm to compute such grids is described. We provide results concerning the orders of the approximation with respect to the regularity of the payoff function and the global size of the grids. Numerical tests are performed in dimensions 2, 4, 5, 6, 10 with American style exchange options. They show that theoretical orders are probably pessimistic.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00213.x
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  • 8
    Electronic Resource
    Electronic Resource
    Evolution of free-boundaries conduction into a superconductor sphere in magnetic variable field (2005)
    Bradford : Emerald
    Compel 24 (2005), S. 6-14 
    Details
    ISSN: 0332-1649
    Source: Emerald Fulltext Archive Database 1994-2005
    Topics: Electrical Engineering, Measurement and Control Technology , Mathematics
    Notes: Purpose - Presents a study of a bulk superconductor sphere placed in a uniform magnetic induction field b0(t). Design/methodology/approach - Adapts some macroscopic laws for the numerical simulation of its evolution. This evolution is determinated by the front tracking method (FTM). Findings - The deduction of some consequences concerning hysteresis losses, and comparison to a direct method are done. Originality/value - Helps to solve some complex three-dimensional eddy current problems in industrial devices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1108/03321640510571011
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  • 9
    Electronic Resource
    Electronic Resource
    Enhancing the distribution networks stability using distributed generation (2005)
    Bradford : Emerald
    Compel 24 (2005), S. 107-126 
    Details
    ISSN: 0332-1649
    Source: Emerald Fulltext Archive Database 1994-2005
    Topics: Electrical Engineering, Measurement and Control Technology , Mathematics
    Notes: Purpose - This paper describes models of micro-turbines and fuel cells, which can be used in stability studies. Design/methodology/approach - The plants models derived are based on the main equations. These models are developed in the Laplace domain and transient simulation is done using a software developed based on the MATLAB package. Findings - The micro-source is capable of providing effective load-following service in the distribution system. However, the results also show that the micro-source is not an uninterruptible power supply and does not protect the load from voltage instability while in grid-connect mode. When a micro-turbine plant is connected to a point where it gives support to a load in fault conditions, the lower the inertia of micro-turbine plant, the greater is the destabilizing tendency for faults in the distribution system. On the other hand, transient stability is enhanced with aid of the SOFC inverter. Originality/value - The effects of these micro-sources on the network performance are shown and a distribution system embedded with the micro-sources is used as an example. Finally, transient stability and voltage stability of the system are investigated.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1108/03321640510571084
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  • 10
    Electronic Resource
    Electronic Resource
    Speculative parallel processing applied to modelling of initial problems (2005)
    Bradford : Emerald
    Compel 24 (2005), S. 127-144 
    Details
    ISSN: 0332-1649
    Source: Emerald Fulltext Archive Database 1994-2005
    Topics: Electrical Engineering, Measurement and Control Technology , Mathematics
    Notes: Purpose - To present a new parallel method for solving differential equations that describe transient states in physical systems. Design/methodology/approach - The proposed speculative method first solves a differential equation with a large integration step to determine initial data for parallel computations in sub-intervals of time, then speculatively computes in parallel solutions in all the sub-intervals with a smaller integration step and finally composes the final solution from the speculatively computed ones. The basic numerical method applied is the well-known Runge-Kutta algorithm. Findings - The speculative method allows important reduction of the computation time of sequential algorithms. The speed-up of the speculative method that we propose, as compared to the sequential execution, depends on the number of sub-intervals that are defined inside the total analysed time interval. The speed-up increases almost linearly with the number of sub-intervals. The good accuracy of computations in the presented example was obtained. Research limitations/implications - The proposed method can be applied to non-linear systems without discontinuity points and to stable systems (i.e. systems insensitive to the selection of initial conditions). Practical implications - The method can be especially applied for long-lasting computations with a slow convergence of state variables values along with the decrease of integration steps. Originality/value - The paper presents an original parallel method for solving differential equations, which significantly speeds up transient states analysis in physical systems.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1108/03321640510571093
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