1,721,019 research outputs found
Superreplication of European multiasset derivatives with bounded stochastic volatility
No full textIn this paper we analyze the superreplication approach in stochastic volatility models in the case of European multiasset derivatives. We prove that the Black-Scholes-Barenblatt (BSB) equation gives a superhedging strategy even if its solution is not twice differentiable. This is done under convexity assumptions on the final payoff h that are verified in some applications presented here
Optimal investment models with vintage capital: Dynamic Programming approach
No full textThe dynamic programming approach for a family of optimal investment models with vintage capital is here developed. The problem falls into the class of infinite horizon optimal
control problems of PDE’s with age structure that have been studied in various papers (Barucci and Gozzi, 1998, 2001; Feichtinger et al., 2003, 2006) either in cases when explicit
solutions can be found or using Maximum Principle techniques.
The problem is rephrased into an infinite dimensional setting, it is proven that
the value function is the unique regular solution of the associated stationary Hamilton–Jacobi–Bellman equation, and existence and uniqueness of optimal feedback controls is derived. It is then shown that the optimal path is the solution to the closed loop equation. Similar results were proven in the case of finite horizon by Faggian (2005b,
2008a). The case of infinite horizon is more challenging as a mathematical problem, and
indeed more interesting from the point of view of optimal investment models with vintage
capital, where what mainly matters is the behavior of optimal trajectories and controls in
the long run.
Finally it is explainedhowthe results can be applied to improve the analysis of the optimal
paths previously performed by Barucci and Gozzi and by Feichtinger et al
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
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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