Results 11 to 20 of about 649 (90)
Special greeks of a variance-gamma driven vasicek model
Scientific African, 2023 Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario.
Adaobi M. Udoye, Lukman S. Akinola
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On correlated measurement errors in the Schwartz–Smith two-factor model
Dependence Modeling, 2022 The Schwartz–Smith two-factor model is commonly used for pricing of derivatives in commodity markets. For estimating and forecasting the term structures of futures prices, the logarithm of commodity spot price is represented as the sum of short- and long-
Han Jun S. +3 more
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Bayesian credibility premium with GB2 copulas
Dependence Modeling, 2020 For observations over a period of time, Bayesian credibility premium may be used to predict the value of a response variable for a subject, given previously observed values.
Jeong Himchan, Valdez Emiliano A.
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Majalah Ilmiah Matematika dan Statistika, 2023 Stock investment activities had a high level of profit and a high level of risk as well. The risk could be known from fluctuations in stock price data on stock returns.
Rossy Prima Nada Utami +2 more
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LIBOR additive model calibration to swaptions markets [PDF]
, 2008 In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem.
Colino, Jesús P. +2 more
core +7 more sources
Insurance Premium Formulation for Agricultural Commodity Prices
InPrime, 2022 This research develops the appropriate formula to determine insurance premiums on agricultural commodity prices that provide coverage to policyholders for losses caused by falling prices.
Betri Wendra
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Journal of Inequalities and Applications, 2014 We prove large deviation inequalities for the randomly weighted partial and random sums Snθ=∑i=1nθiXi, n≥1; Scθ(t)=∑i=1N(t)(θiXi+c), c∈R, where {N(t),t≥0} is a counting process, {θi,i≥1} is a sequence of positive random variables with two-sided bounds ...
Xiaodong Bai, Lixin Song, T. Hu
semanticscholar +2 more sources
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Dependence Modeling, 2018 Previous research has focused on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, existing dynamic models are not easily applied to high-dimensional problems due to the curse ...
Jin Xisong, Lehnert Thorsten
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InPrime, 2023 In this research, we delve into the realm of pension plan programs, essential for securing a robust livelihood post-retirement through the provision of pension benefits to retired employees.
Ardella Maharani +2 more
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On the economic risk capital of portfolio insurance
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 41, Page 2209-2218, 2004., 2004 A formula for the conditional value‐at‐risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.
Werner Hürlimann
wiley +1 more source