ALBERT

All Library Books, journals and Electronic Records Telegrafenberg

X
feed icon rss

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
  • 1
    Electronic Resource
    Electronic Resource
    The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates (1997)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: It is possible to specify a model for interest rates in various ways, by giving the dynamics of the spot rate or of the forward rates, for example. A less well–developed approach is to specify the law of the state–price density process directly. In abstract, the state–price density process is a positive supermartingale, and the theory of Markov processes provides a rich framework for the generation of examples of such things. We show how this can be done, and provide simple examples (some familiar, some new) where prices of derivatives can be computed very easily. One benefit of the potential approach is that it becomes very easy to model the yield curve in many countries at once, together with the exchange rates between them.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00029
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    Arbitrage with Fractional Brownian Motion (1997)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow long–range dependence between returns on different days. While this is true, it also allows arbitrage opportunities, which we demonstrate both indirectly and by constructing such an arbitrage. Nonetheless, it is possible by looking at a process similar to the fractional Brownian motion to model long–range dependence of returns while avoiding arbitrage.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00025
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    [ohne Titel] (2002)
    Oxford, UK : Blackwell Publishers, Inc.,
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper introduces a dual way to price American options, based on simulating the paths of the option payoff, and of a judiciously chosen Lagrangian martingale. Taking the pathwise maximum of the payoff less the martingale provides an upper bound for the price of the option, and this bound is sharp for the optimal choice of Lagrangian martingale. As a first exploration of this method, four examples are investigated numerically; the accuracy achieved with even very simple choices of Lagrangian martingale is surprising. The method also leads naturally to candidate hedging policies for the option, and estimates of the risk involved in using them.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.02010
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 4
    Electronic Resource
    Electronic Resource
    Robust Hedging of Barrier Options (2001)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Mathematical finance 11 (2001), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This article considers the pricing and hedging of barrier options in a market in which call options are liquidly traded and can be used as hedging instruments. This use of call options means that market preferences and beliefs about the future behavior of the underlying assets are in some sense incorporated into the hedge and do not need to be specified exogenously. Thus we are able to find prices for exotic derivatives which are independent of any model for the underlying asset. For example we do not need to assume that the underlying assets follow an exponential Brownian motion.We find model-independent upper and lower bounds on the prices of knock-in and knock-out puts and calls. If the market prices the barrier options outside these limits then we give simple strategies for generating profits at zero risk. Examples illustrate that the bounds we give can be fairly tight.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00116
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 5
    Electronic Resource
    Electronic Resource
    Volatility Estimation with Price Quanta (1998)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 8 (1998), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Volatility estimators based on high, low, opening and closing prices have been developed, and perform well on simulated data, but on real data they frequently give lower values for volatility than the simple open–close estimator. This may be due to the fact that for real data, the maximum (or minimum) price is often at the beginning or end of the day. While this could not happen if the observed process was log Brownian, it could happen if the observed process were log Brownian, but observed only to the nearest penny. We develop the theory of such approximations to derive the corrected versions of the basic estimators.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00056
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 6
    Electronic Resource
    Electronic Resource
    Complete Models with Stochastic Volatility (1998)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 8 (1998), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The paper proposes an original class of models for the continuous-time price process of a financial security with nonconstant volatility. The idea is to define instantaneous volatility in terms of exponentially weighted moments of historic log-price. The instantaneous volatility is therefore driven by the same stochastic factors as the price process, so that, unlike many other models of nonconstant volatility, it is not necessary to introduce additional sources of randomness. Thus the market is complete and there are unique, preference-independent options prices.We find a partial differential equation for the price of a European call option. Smiles and skews are found in the resulting plots of implied volatility.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00043
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 7
    Electronic Resource
    Electronic Resource
    THE SQUARED ORNSTEIN-UHLENBECK MARKET (2004)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.
    Mathematical finance 14 (2004), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study a complete market containing J assets, each asset contributing to the production of a single commodity at a rate that is a solution to the squared Ornstein-Uhlenbeck (Cox-Ingersoll-Ross) SDE. The assets are owned by K agents with CRRA utility functions, who follow feasible consumption/investment regimes so as to maximize their expected time-additive utility from consumption. We compute the equilibrium for this economy and determine the state-price density process from market clearing. Reducing to a single (representative) agent, and exploiting the relation between the squared-OU and squared-Bessel SDEs, we obtain closed-form expressions for the values of bonds, assets, and options on the total asset value. Typical model parameters are estimated by fitting bond price data, and we use these parameters to price the assets and options numerically. Implications for the total asset price itself as a diffusion are discussed. We also estimate implied volatility surfaces for options and bond yields.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2004.00202.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 8
    Electronic Resource
    Electronic Resource
    On polymer conformations in elongational flows (1994)
    Springer
    Communications in mathematical physics 160 (1994), S. 239-257 
    Details
    ISSN: 1432-0916
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Physics
    Notes: Abstract We consider various models of polymer conformations using paths of Gaussian processes such as Brownian motion. In each case, the calculation of the law of the moment of inertia of a random polymer structure (which is equivalent to the calculation of the partition function) is reduced to the problem of finding the law of a certain quadratic functional of a Gaussian process. We present a new method for computing the Laplace transforms of these quadratic functionals which exploit their special form via the Ray-Knight Theorem and which does not involve the classical method of eigenvalue expansions. We apply the method to several simple examples, then show how the same techniques can be applied to more complicated cases with the aid of a little excursion theory.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02103275
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 9
    Electronic Resource
    Electronic Resource
    The k-record processes are i.i.d. (1984)
    Springer
    Probability theory and related fields 67 (1984), S. 197-211 
    Details
    ISSN: 1432-2064
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Let X 1, X 2, ... be i.i.d. positive random variables, and let ρ n be the initial rank of X n (that is, the rank of X n among X 1, ..., X n). Those observations whose initial rank is k are collected into a point process N k on ℝ+, called the k-record process. The fact that {itNk; k=1, 2, ... are independent and identically distributed point processes is the main result of the paper. The proof, based on martingales, is very rapid. We also show that given N 1, ..., N k, the “lifetimes” in rank k of all observations of initial rank at most k are independent geometric random variables. These results are generalised to continuous time, where the analogue of the i.i.d. sequence is a “time-space” Poisson process. Initially, we think of this Poisson process as having values in ℝ+, but subsequently we extend to Poisson processes with values in more general Polish spaces (for example, Brownian excursion space) where ranking is performed using real-valued attributes.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00535268
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 10
    Electronic Resource
    Electronic Resource
    Self-avoiding random walk: A Brownian motion model with local time drift (1987)
    Springer
    Probability theory and related fields 74 (1987), S. 271-287 
    Details
    ISSN: 1432-2064
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Summary A natural model for a ‘self-avoiding’ Brownian motion inR d, when specialised and simplified tod=1, becomes the stochastic differential equation $$X_t = B_t - \int\limits_0^t g (X_s ,L(s,X_s ))ds$$ , where {L(t, x):t≧0,x∈R} is the local time process ofX. ThoughX is not Markovian, an analogue of the Ray-Knight theorem holds for {L(∞,x):x∈R}, which allows one to prove in many cases of interest that $$\mathop {\lim }\limits_{t \to \infty } X_t /t$$ exists almost surely, and to identify the limit.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00569993
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
Close ⊗
This website uses cookies and the analysis tool Matomo. More information can be found here...