1,721,017 research outputs found
Sopostavitel’nyj analiz prekoncessivnych konstrukcij v russkom i ital’janskom jazykach na materiale russko-ital’janskogo parallel’nogo korpusa NKRJa
No full textLo scopo di questo lavoro è descrivere le caratteristiche semantiche e morfologiche dei costrutti preconcessivi in italiano e in russo utilizzando i dati del corpus parallelo italiano-russo. Si tratta di strutture correlative paratattiche che codificano un contrasto tra due stati di cose. Lo studio mostra che l’utilizzo del corpus parallelo si rivela fruttuoso anche nell’ambito delle relazioni transfrastiche, in un’area al confine tra frase e testo. L’uso del corpus permette inoltre di evidenziare strutture preconcessive con forme cataforiche precedentemente non descritte nelle due lingue
Local risk minimization for defaultable markets
No full textWe study the local risk minimization approach for defaultable markets in a general setting where the asset price dynamics and the default time may influence each other. We find the Follmer-Schweizer decomposition in this general setting and compute it explicitly in two particular cases, when default time depends on the risky asset's behavior and when only a dependence of discounted asset price on default time is occurring
Quadratic hedging methods for defaultable claims
No full textWe apply the local risk-minimization approach to defaultable claims and we compare it with intensity-based evaluation formulas and the mean-variance hedging. We solve analytically the problem of finding respectively the hedging strategy and the associated portfolio for the three methods in the case of a default put option with random recovery at maturity
Mean-variance hedging with random volatility jumps
No full textWe introduce a general framework for stochastic volatility models, with the risky asset dynamics given by: dXt(ω, η) = μt η)Xt(ω, η)dt +σt(η)(ω,η)dWt(ω) where (ω, η) ∈ (Ω × H,fΩ⊗fH, PΩ⊗PH). In particular, we allow for random discontinuities in the volatility σ and the drift μ. First we characterize the set of equivalent martingale measures, then compute the mean- variance optimal measure P̃, using some results of Schweizer on the existence of an adjustment process β. We show examples where the risk premium λ=(μ- r)/σ follows a discontinuous process, and make explicit calculations for P̃
Mean-variance hedging for Stochastic Volatility models
No full textIn this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doléans exponentials; explicit examples include both models where volatility solves a diffusion equation and models where it follows a jump process. We further discuss the closedness of the space of strategies
Multi-dimensional fractional Brownian motion in the G-setting
Full text linkIn this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index H ∈ (0, 1) under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochastic calculus with respect to a multi- dimensional G-fBm for a Hurst index H ∈ ( 1 , 1)
Some extensions of the Black-Scholes and Cox-Ingersoll-Ross models
Full text linkIn this thesis we will study some financial problems concerning the option pricing in complete and incomplete markets and the bond pricing in the short-term interest rates framework. We start from well known models in pricing options or zero-coupon bonds, as the Black-Scholes model and the Cox-Ingersoll-Ross model and study some their generalizations.
In particular, in the first part of the thesis, we study a generalized Black-Scholes equation to derive explicit or approximate solutions of an option pricing problem in incomplete market where the incompleteness is generated by the presence of a non-traded asset. Our aim is to give a closed form representation of the indifference price by using the analytic tool of (C0) semigroup theory.
The second part of the thesis deals with the problem of forecasting future interest rates from observed financial market data. We propose a new numerical methodology for the CIR framework, which we call the CIR# model, that well fits the term structure of short interest rates as observed in a real market
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