Results 21 to 30 of about 2,755,023 (338)
Quadrinomial trees with stochastic volatility to value real options [PDF]
Journal of Economics Finance and Administrative Science, 2021 Purpose – The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination.
Freddy H. Marín-Sánchez +2 more
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Establishing cryptocurrency equilibria through game theory
AIMS Mathematics, 2019 We utilize optimization methods to determine equilibria of cryptocurrencies. A core group, the wealthy, fears the loss of assets that can be seized by a government. Volatility may be influenced by speculators. The wealthy must divide their assets between
Carey Caginalp, Gunduz Caginalp
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Sensitivities via Rough Paths [PDF]
, 2014 Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the It\^o map associated to rough differential equations.
Marie, Nicolas
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Optimal Per-Loss Reinsurance for a Risk Model with a Thinning-Dependence Structure
Mathematics, 2022 In this paper, we consider the optimal reinsurance problem for a risk model with a thinning-dependence structure, where the stochastic sources related to claim occurrence are classified into different groups, and each group may cause a claim in each ...
Fudong Wang, Zhibin Liang
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Maximizing the goal-reaching probability before drawdown with borrowing constraint
AIMS Mathematics, 2021 We study the optimal investment problem in a constrained financial market,where the proportion of borrowed amount to the current wealth level is no more than a given constant.
Yu Yuan, Qicai Li
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Probabilistic Interpretation of Solutions of Linear Ultraparabolic Equations
Mathematics, 2018 We demonstrate the existence, uniqueness and Galerkin approximatation of linear ultraparabolic terminal value/infinite-horizon problems on unbounded spatial domains.
Michael D. Marcozzi
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Mathematical Finance with Applications [PDF]
, 2020 Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics,
Wong, Wing-Keung +2 more
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An Integrated Approach to Pricing Catastrophe Reinsurance
Risks, 2017 We propose an integrated approach straddling the actuarial science and the mathematical finance approaches to pricing a default-risky catastrophe reinsurance contract.
Carolyn W. Chang, Jack S. K. Chang
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A dynamical systems approach to cryptocurrency stability
AIMS Mathematics, 2019 Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or creditors.
Carey Caginalp
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Information, 2021 This paper focuses on the financial health prediction of businesses. The issue of predicting the financial health of companies is very important in terms of their sustainability.
Jarmila Horváthová +2 more
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