Results 41 to 50 of about 52,531 (173)
Mirror and synchronous couplings of geometric Brownian motions [PDF]
Stochastic Processes and their Applications, 2014 The paper studies the question of whether the classical mirror and synchronous couplings of two Brownian motions minimise and maximise, respectively, the coupling time of the corresponding geometric Brownian motions. We establish a characterisation of the optimality of the two couplings over any finite time horizon and show that, unlike in the case of ...
Saul D. Jacka +2 more
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Mathematics, 2022 The present article proposes a methodology for modeling the evolution of stock market indexes for 2020 using geometric Brownian motion (GBM), but in which drift and diffusion are determined considering two states of economic conjunctures (states of the ...
Vasile Brătian +3 more
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Generalizing Geometric Brownian Motion
, 2018 To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{ Z_t}, >0$ is widely used. We generalize this positive process by introducing an asymmetry parameter $ \geq 0$ which describes the instantaneous volatility whenever the process reaches a new low.
Carr, Peter, Zhang, Zhibai
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Application of the Fractal Brownian Motion to the Athens Stock Exchange
Fractal and FractionalThe Athens Stock Exchange (ASE) is a dynamic financial market with complex interactions and inherent volatility. Traditional models often fall short in capturing the intricate dependencies and long memory effects observed in real-world financial data. In
John Leventides +5 more
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Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion [PDF]
, 2013 In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion.
Wang, Rongming, Wei, Jiaqin, Zhao, Qian
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Fractional Brownian motion with a reflecting wall [PDF]
, 2018 Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion.
Vojta, Thomas, Wada, Alexander H. O.
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An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model
Journal of Applied Mathematics, 2010 This paper provides the analytic solution to the partial differential equation for the value of a convertible bond. The equation assumes a Vasicek model for the interest rate and a geometric Brownian motion model for the stock price.
A. S. Deakin, Matt Davison
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Matched Asymptotic Expansions for Valuing Spread Options [PDF]
, 2008 Spread Options are crucial in the energy, currency and fixed income, and com- modity markets. The problem with spread options is that there are no closed- form formulae to price or hedge them.
Charara, Razan
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Surveying the best volatility measurements to forecast stock market [PDF]
, 2017 This paper investigates methods to forecast future adjusted price of S&P 500 by using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) for better investment decision.
Alhagyan, Mohammed +2 more
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Alexandria Engineering Journal, 2023 The influence of Thermophoresis and Brownian motion on the pulsing flow of nano-fluid (blood) through a curved artery with stenosis and post-stenotic dilatation in its interior is investigated numerically.
M. Hussain, M.S. Shabbir
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