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
    MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The Black-Scholes option price is increasing and convex with respect to the initial stock price. increasing with respect to volatility and instantaneous interest rate, and decreasing and convex with respect to the strike price. These results have been extended in various directions. In particular, when the underlying stock price follows a one-dimensional diffusion and interest rates are deterministic, it is well known that a European contingent claim's price written on the stock with a convex (concave. respectively) payoff function is also convex (concave) with respect to the initial stock price. This paper discusses extensions of such results under more general settings by simple arguments.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00131.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Stochastic dominance (SD) is a very useful tool in various areas of economics and finance. the purpose of this paper is to provide the results of SD relations developed in other areas such as applied probability which, we believe, are useful for many portfolio selection problems. In particular, the bivariate characterization of SD relations given by Shanthikumar and Yao (1991) is a powerful tool for the demand and the shift effect problems in optimal portfolios. the method enables one to extend many results that hold for the case where the underlying lying assets are statistically independent to the dependent case directly.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00116.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk (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: In recent years, it has become common to use a Markov chain model to describe the dynamics of a firm's credit rating as an indicator of the likelihood of default. Such a model can be used not only for describing the dynamics but also for valuing risky discount bonds. The aim of this paper is to explain how the Markov chain model leads to the known empirical findings such that prior rating changes carry predictive power for the direction of future rating changes and a firm with low (high, respectively) credit rating is more likely to be upgraded (downgraded) conditional on survival as the time horizon lengthens. The model will also explain practically plausible statements such as that bond prices as well as credit risk spreads would be ordered according to their credit qualities. Stochastic monotonicities of absorbing Markov chains play a prominent role in these issues.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00054
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 4
    Electronic Resource
    Electronic Resource
    Valuation of a Credit Swap of the Basket Type (2000)
    Springer
    Review of derivatives research 4 (2000), S. 81-97 
    Details
    ISSN: 1573-7144
    Keywords: risk-neutral valuation ; joint survival probability ; default intensity process ; conditional independence ; extended Vasicek model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article provides a simple model to value a credit swap ofthe basket type. Unlike the previous literature, we considerthe joint survival probability of occurrence times of creditevents in terms of stochastic intensity processes under the assumptionof conditional independence. Based on the joint survival probability,such a credit swap can be valued under the risk-neutral valuationframework. Assuming that the default intensity processes followthe extended Vasicek model with a correlation structure, an analyticexpression of the valuation formula is derived. Some numericalexample is given to demonstrate the usefulness of our model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1009628513231
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 5
    Electronic Resource
    Electronic Resource
    Credit Events and the Valuation of Credit Derivatives of Basket Type (2000)
    Springer
    Review of derivatives research 4 (2000), S. 55-79 
    Details
    ISSN: 1573-7144
    Keywords: default intensity process ; risk-neutral valuation ; joint survival function ; conditional independence ; extended Vasicek model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Thispaper provides a simple model for valuing a credit derivativewhose payoff depends on the identity (or identities) of the first(or first two) to occur of a given list of credit events, suchas defaults. The joint survival probability of occurrence timesof credit events is formulated in terms of stochastic intensityprocesses under the assumption of conditional independence. Basedon the joint survival probability, we can easily obtain the pricingformulas of such credit derivatives under the risk-neutral valuationframework. When the default intensity processes follow the extendedVasicek model, closed-form solutions of the pricing formulasare given.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1009676412322
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 6
    Electronic Resource
    Electronic Resource
    THE GENERALIZED HARMONIC MEAN AND A PORTFOLIO PROBLEM WITH DEPENDENT ASSETS (1997)
    Springer
    Theory and decision 43 (1997), S. 71-87 
    Details
    ISSN: 1573-7187
    Keywords: Single period portfolio problem ; stochastic dominance ; HARA utility function ; IIA property
    Source: Springer Online Journal Archives 1860-2000
    Topics: Sociology , Economics
    Notes: Abstract McEntire (1984) proved that, for a portfolio problem with independent assets, the generalized harmonic mean plays the role of a risk-free threshold. Based upon this property, he developed a criterion for including or excluding assets in an optimal portfolio, and he proved an ordering theorem showing that an optimal portfolio always consists of positive amounts of the assets with the largest mean values. Also, some commonly used utility functions were shown to satisfy the property that the dominance of an asset over another is unaffected by the addition of other assets. In this paper we extend these results to the case where assets are dependent.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1004918708964
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 7
    Electronic Resource
    Electronic Resource
    Decompositions of theM/M/1 transition function (1991)
    Springer
    Queueing systems 9 (1991), S. 323-336 
    Details
    ISSN: 1572-9443
    Keywords: M/M/1 queue ; transient behavior ; queue length process ; simple random walk ; zero-avoiding probabilities ; relaxation time
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science
    Notes: Abstract Two decompositions are established for the probability transition function of the queue length process in the M/M/1 queue by a simple probabilistic argument. The transition function is expressed in terms of a zero-avoiding probability and a transition probability to zero in two different ways. As a consequence, the M/M/1 transition function can be represented as a positive linear combination of convolutions of the busy-period density. These relations provide insight into the transient behavior and facilitate establishing related results, such as inequalities and asymptotic behavior.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01158470
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 8
    Electronic Resource
    Electronic Resource
    Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities (1993)
    Springer
    Annals of operations research 45 (1993), S. 147-163 
    Details
    ISSN: 1572-9338
    Keywords: Portfolio theory ; risk aversion ; utility function ; diversification
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, we first define risk in an axiomatic way and a class of utility functions suitable for the so-called mean-risk analysis. Then, we show that, in a portfolio selection problem with multiple risky investments, an investor who is more risk averse in the Arrow-Pratt sense prefers less risk, in the sense of this paper, with less mean return, and an investor who displays increasing (decreasing) relative risk aversion becomes more conservative (aggressive) as the initial capital increases. The risk aversion effect for diversification on optimal portfolios is also discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02282046
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 9
    Electronic Resource
    Electronic Resource
    Competitive Price Equilibrium with Consumer Reservation Utility (2000)
    Springer
    Computational & mathematical organization theory 6 (2000), S. 7-27 
    Details
    ISSN: 1572-9346
    Keywords: pricing research ; competitive strategy ; game theory
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract This paper studies a competitive price equilibrium in the market of a product category where consumers are homogeneous with a reservation utility below which they will not purchase the product. The impact of the reservation utility on the price equilibrium is of particular interest, because the reservation utility may change according to the business cycle and economic environments. Using multinomial logit model to describe market response, we study the comparative statics of the prices, profits and market shares of firms, each of which produces one brand in the product category, with respect to the reservation utility in the Nash equilibrium. It is shown that, as the reservation utility increases, the prices as well as the profits at Nash equilibrium decrease. Also, in the case of duopoly market, the firm with lower cost structure will increase its market share as the reservation utility increases.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1009669024901
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 10
    Electronic Resource
    Electronic Resource
    Computation of the quasi-stationary distributions inM(n)/GI/1/K andGI/M(n)/1/K queues (1992)
    Springer
    Queueing systems 11 (1992), S. 255-272 
    Details
    ISSN: 1572-9443
    Keywords: Quasi-stationary distribution ; doubly-limiting conditional distribution ; finite quasi-birth-death process ; phase-type distribution ; queue length ; Perron-Frobenius eigenvalue
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science
    Notes: Abstract In this paper, we provide numerical means to compute the quasi-stationary (QS) distributions inM/GI/1/K queues with state-dependent arrivals andGI/M/1/K queues with state-dependent services. These queues are described as finite quasi-birth-death processes by approximating the general distributions in terms of phase-type distributions. Then, we reduce the problem of obtaining the QS distribution to determining the Perron-Frobenius eigenvalue of some Hessenberg matrix. Based on these arguments, we develop a numerical algorithm to compute the QS distributions. The doubly-limiting conditional distribution is also obtained by following this approach. Since the results obtained are free of phase-type representations, they are applicable for general distributions. Finally, numerical examples are given to demonstrate the power of our method.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01164005
    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...