Titlebook: Mathematical Finance; Workshop of the Math Michael Kohlmann,Shanjian Tang Conference proceedings 2001 Springer Basel AG 2001 Finite.Mathema

visceral-fat

,Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type,l type and EMM to data, derive an explicit formula for a locally risk-minimizing hedging ratio and show that it is H?lder continuous for options at the money, at expiry date. We derive pricing formulas for some American and barrier options, show that in some cases the principle of the smooth fit fails, and suggest a substitute for it.

chance

表狀態(tài)

Expressly

Fractional Calculus and Continuous-Time Finance III : the Diffusion Limit,A proper transition to the so-called diffusion or hydrodynamic limit is discussed for continuous time random walks. It turns out that the probability density function for the limit process obeys a fractional diffusion equation. The relevance of these results for financial applications is briefly discussed.

sperse

978-3-0348-9506-4Springer Basel AG 2001

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gusher

Cardioplegia

Console

On-line portfolio strategy with prediction,w idea of “cross rate” for the sequence of price relative vectors. It is proved that the new portfolio strategy is profitable almost surely under certain mild assumption. The performance of our algorithm is tested on real data from the London Stock Exchange.

EXTOL

Optimal default boundary in a discrete time setting,osts and tax benefits, with the condition that the value of equity must be nonnegative. By applying dynamic programming in discrete time, we find results which extends those of Leland (1994) and Leland-Toff (1996).