Mathematical Finance
SCOPUS (1991-2023)SCIE-ISI SSCI-ISI
0960-1627
1467-9965
Anh Quốc
Cơ quản chủ quản: WILEY , Wiley-Blackwell Publishing Ltd
Lĩnh vực:
Economics and EconometricsFinanceApplied MathematicsSocial Sciences (miscellaneous)Accounting
Các bài báo tiêu biểu
Coherent Measures of RiskIn this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD r... ... hiện toàn bộ
Tập 9 Số 3 - Trang 203-228 - 1999
A YIELD‐FACTOR MODEL OF INTEREST RATESThis paper presents a consistent and arbitrage‐free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero‐coupon bond is taken to be a maturity‐dependent affine combination of the selected “basis” set of yields. We provide necessary ... ... hiện toàn bộ
Tập 6 Số 4 - Trang 379-406 - 1996
MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACTThis article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of c... ... hiện toàn bộ
Tập 4 Số 2 - Trang 155-167 - 1994
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIMEThis paper formulates and studies a general continuous‐time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S‐shaped utility (value) functions and probability distortions. Unlike the conventional expected utility maximization model, such a behavioral model could be easily mis‐formulated (a.k.a. ill‐posed) if its different components... ... hiện toàn bộ
Tập 18 Số 3 - Trang 385-426 - 2008
Complete Models with Stochastic VolatilityThe 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 no... ... hiện toàn bộ
Tập 8 Số 1 - Trang 27-48 - 1998
A DIFFUSION MODEL FOR ELECTRICITY PRICESStarting from a simple supply/demand model for electricity, we obtain a diffusion (i.e., jumpless) model for spot prices which can exhibit price spikes. We estimate the parameters in the model using historical data from the Alberta and California markets. and compare this model with some others used for spot prices.
Tập 12 Số 4 - Trang 287-298 - 2002
TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
Tập 20 Số 4 - Trang 695-731
OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITYWe consider an optimal insurance design problem for an individual whose preferences are dictated by the rank‐dependent expected utility (RDEU) theory with a concave utility function and an inverse‐S shaped probability distortion function. This type of RDEU is known to describe human behavior better than the classical expected utility. By applying the technique of quantile formulation, we s... ... hiện toàn bộ
Tập 25 Số 1 - Trang 154-186 - 2015
Correction: Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994, 4/2, 155–167)
Tập 10 Số 4 - Trang 461-462 - 2000
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy ProcessesIn a market driven by a Lévy martingale, we consider a claim ξ. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for ξ: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and on... ... hiện toàn bộ
Tập 13 Số 1 - Trang 55-72 - 2003