In recent years products based on? nancial derivatives have become an ind- pensabletoolforriskmanagersandinvestors. Insuranceproductshavebecome part of almost …
We study the existence of the numéraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numéraire portfolio generates a …
Abstract Stochastic Portfolio Theory is a flexible framework for analyzing portfolio behavior and equity market structure. This theory was introduced by Fernholz in the papers (Journal …
Abstract Predicting the Remaining Useful Lifetime (RUL) of a system has become one of the primary goals of engineering and reliability researchers. RUL prediction is based on the …
P Carr, J Yu - Journal of Derivatives, 2012 - fields.utoronto.ca
In this talk, the probability measure P indicates the frequency with which “the market” believes that future states occur. We assume that this frequency is reflected in market prices …
" Quantitative Risk Management (QRM) has become a field of research of considerable importance to numerous areas of application, including insurance, banking, energy …
K Fergusson, E Platen - Applied Mathematical Finance, 2006 - Taylor & Francis
In this paper distributions are identified which suitably fit log‐returns of the world stock index when these are expressed in units of different currencies. By searching for a best fit in the …
We study a model of n non-intersecting squared Bessel processes in the confluent case: all paths start at time t= 0 at the same positive value x= a, remain positive, and are conditioned …
This study employs several methods to simulate and construct the portfolio from stock indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the …