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Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control Poisson point processes HJBPIDE polic improvement PIDE parabolic PDE classical solutions viscosity solutions
2010/4/27
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Riding a Spiral Wave: Numerical Simulation of Spiral Waves in a Co-Moving Frame of Reference
Spiral Wave Numerical Simulation Frame of Reference
2010/4/1
We describe an approach to numerical simulation of spiral waves dynamics of large spatial extent, using small computational grids.
The level crossing analysis of German stock market index (DAX) and daily oil price time series
German stock market index daily oil price time series
2010/4/27
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/4/27
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
Jump-diffusion modeling in emission markets
stochastic modeling for emission trading environmental finance risk-neutral pricing market equilibrium jump-diffusion models
2010/4/27
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...
Securities Pricing with Information-Sensitive Discounting
Asset pricing incomplete information stochastic interest rates credi trisk recovery models credit-ination hybrid securities information-sensitive pricing kernels
2010/4/27
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random rec...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes optionpri-cing
2010/4/27
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still b...
Computer Simulation Study of the Levy Flight Process
Computer Simulation Levy Flight Process Random walk
2010/4/1
Random walk simulation of the Levy flight shows a linear relation between the mean square displacement and time. We have analyzed different aspects of this linearity. It is shown that the restric...
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of ...
Construction of an isotropic cellular automaton for a reaction-diffusion equation by means of a random walk
reaction-diffusion equation random walk
2010/4/1
We propose a new method to construct an isotropic cellular automaton corresponding to a reaction-diffusion equation. The method consists of replacing the diffusion term and the reaction term of the re...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Cross-Correlation Dynamics Financial Time-Series
2010/4/27
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...
g期望的一种Kolmogorov不等式
倒向随机微分方程 g期望 g方差 Kolmogorov不等式
2009/12/23
借助于当生成元g满足限制条件时的g方差比较定理,得到了g期望的一种Kolmogorov不等式表达形式。结果表明它类似于古典Kolmogorov不等式的形式,推广了古典Kolmogorov不等式。
一般g-期望的收敛定理
倒向随机微分方程 一般g-期望 收敛定理 比较定理
2009/11/24
讨论定义在l1(Ω, FT, P)空间上一般g-期望的一些性质,进而得到了一般g-期望的单调收敛定理、Fatou引理和控制收敛定理。
Knight不确定环境下欧式股票期权的最小定价模型
Knight 不确定性 几何布朗运动 倒向随机微分方程（BSDE）
2009/11/19
研究具有Knight 不确定性的金融市场，假定标的资产（股票）价格过程服从几何布朗运动，建立了欧式期权在一个概率测度集合上的最小定价模型，并借助于倒向随机微分方程（BSDE）的重要理论以及鞅方法求出了该模型的显示表达式；通过研究一个避险参数揭示了Knight 不确定性对欧式期权定价的影响。
带有双障碍的反射倒向随机微分方程的逆比较定理
反射倒向随机微分方程 生成元 比较定理 逆比较定理
2009/11/19
讨论了带有双障碍的反射倒向随机微分方程的逆比较问题，在适当的条件下建立了几个关于其生成元的逆比较定理.
