Results 51 to 60 of about 2,368,464 (368)
A $C^{0,1}$-functional Itô's formula and its applications in mathematical finance [PDF]
arXiv, 2021 Using Dupire's notion of vertical derivative, we provide a functional (path-dependent) extension of the It\^o's formula of Gozzi and Russo (2006) that applies to C^{0,1}-functions of continuous weak Dirichlet processes. It is motivated and illustrated by its applications to the hedging or superhedging problems of path-dependent options in mathematical ...
arxiv
Univ. J. Phys. Appl. 9(2) (2015) 64-133, 2014 These are the lecture notes for an advanced Ph.D. level course I taught in Spring'02 at the C.N. Yang Institute for Theoretical Physics at Stony Brook. The course primarily focused on an introduction to stochastic calculus and derivative pricing with various stochastic computations recast in the language of path integral, which is used in theoretical ...
arxiv +1 more source
FROM SCHILLER'S 'TRILL' TO 'OIL' FROM RUSSIAN HYDROCARBONS
Вестник Российского экономического университета имени Г. В. Плеханова, 2017 In conditions of budget deficit and difficulties in capital borrowing on global markets the issue of home borrowing is becoming more and more acute. A derivative profitable both for the government and citizens, who keep their savings in Russian banks ...
Anatoliy I. Vorobiev, Pavel A. Gudkov
doaj +1 more source
Should derivatives be privileged in bankruptcy? [PDF]
, 2014 Derivatives enjoy special status in bankruptcy: they are exempt from the automatic stay and effectively senior to virtually all other claims. We propose a corporate finance model to assess the effect of these exemptions on a firm's cost of borrowing and ...
Aghion +31 more
core +1 more source
Art & Finance: Fine Art Derivatives
Atti della Accademia Peloritana dei Pericolanti - Classe di Scienze Fisiche, Matematiche e Naturali, 2014 This work is intended to introduce a new kind of asset, the so called art asset. This financial tool is an asset whose value is related to an art-work, and in particular to the artist reputation. It will be shown the evaluation of an art asset by using a particular kind of volatility, the α-hedging. This tool normalizes the prices volatility of the art-
Laura Quattrocchi, Francesco Strati
openaire +3 more sources
Modified Mean-Variance Risk Measures for Long-Term Portfolios
Mathematics, 2021 This paper proposes modified mean-variance risk measures for long-term investment portfolios. Two types of portfolios are considered: constant proportion portfolios and increasing amount portfolios.
Hyungbin Park
doaj +1 more source
Gauge theory of Finance? [PDF]
Int. J. Mod. Phys. 9 (3), 505-508 (1998), 1998 Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent both in information and mathematical content to the simpler and well-known derivation, dating back from Bachelier and Samuelson.
arxiv +1 more source
The determinants of green finance and effect on the banking sector
Financial Internet Quarterly, 2023 This study examines the prerequisites and challenges faced by local and foreign commercial banks in Türkiye in supporting green business initiatives. This study uses backward logistic regression analysis to identify variables affecting green financing ...
Gör Yusuf, Tekin Bilgehan
doaj +1 more source
Detection and prevention of financial abuse against elders [PDF]
, 2013 This article is made available through the Brunel Open Access Publishing Fund. Copyright @ The Authors. This article is published under the Creative Commons Attribution (CC BY 3.0) licence.
Cairns, D +4 more
core +5 more sources
An Extension of the Concept of Derivative: Its Application to Intertemporal Choice
Mathematics, 2020 The framework of this paper is the concept of derivative from the point of view of abstract algebra and differential calculus. The objective of this paper is to introduce a novel concept of derivative which arises in certain economic problems ...
Salvador Cruz Rambaud +1 more
doaj +1 more source