1,721,039 research outputs found
Pricing and Hedging a portfolio of derivative securities: a simulation approach
No full textAn approach to hedging using simulation, the Malliavin calculsus foundation
On the relation between the Stochastic Jacobian and the Riccati ODE in Affine Term Structure Models
No full textImpulse Response Function, Hedging, Affine Term Structure Model
Financial contagion in network economies and asset prices
No full textThis paper studies intertemporal asset pricing in network economies when distress shocks can propagate through the network, similarly to epidemic outbreaks
Estimation Risk Measurament Through Principal Component Analysis and Random Matrix Theory
No full text
Financial interpretation of Feller’s factorization
No full textThe infinitesimal generator of a time-homogeneous univariate diffusion process is a second-order linear ordinary differential operator. Feller (1952) famously factorized this generator into successive differentiations with respect to scale and speed measure. Later, Feller (1957) also factored an extended generator that loads also on the identity operator in a particular way. We provide a novel financial interpretation of these factorization results and show that they produce an operator representation of a conditionally linear risk-return tradeoff when the conditioning variable evolves like a one-dimensional diffusion process
Bifurcated Equilibria in Two-Dimensional MHD.
No full textRENDICONTI DEL CIRCOLO MATEMATICO DI PALERM
- …
