Search Results - subject:"Partial Differential Equation"

Optimal selling rules for monetary invariant criteria : tracking the maximum of a portfolio with negative drift

Elie, Romuald; Espinosa, Gilles-Eduard - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 754-788

Persistent link: https://www.econbiz.de/10011350516

Option pricing via radial basis functions : performance comparison with traditional numerical integration scheme and parameters choice for a reliable pricing

Giribone, Pier Giuseppe; Ligato, Simone - In: International journal of financial engineering 2 (2015) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10011333436

CVA and FVA to derivatives trades collateralized by cash

Wu, Lixin - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10011403893

Hedge Portfolios in Markets with Price Discontinuities

Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

martingale measures in the model, and we derive the corresponding integro-partial differential equation for the option price. We … parameters in the Radon-Nikodym derivative used in the alternative derivation of the integro-partial differential equation. …

Persistent link: https://www.econbiz.de/10004984596

The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate

Xiao, Weilin; Zhang, Weiguo; Zhang, Xili; Chen, Xiaoyan - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 320-337

environment of equity warrants. Using the partial differential equation approach, we present a valuation model for equity warrants …

Persistent link: https://www.econbiz.de/10010873438

Local existence and non-explosion of solutions for stochastic fractional partial differential equations driven by multiplicative noise

Röckner, Michael; Zhu, Rongchan; Zhu, Xiangchan - In: Stochastic Processes and their Applications 124 (2014) 5, pp. 1974-2002

In this paper we prove the local existence and uniqueness of solutions for a class of stochastic fractional partial differential equations driven by multiplicative noise. We also establish that for this class of equations adding linear multiplicative noise provides a regularizing effect: the...

Persistent link: https://www.econbiz.de/10011065073

Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations

Wu, Zhen; Yu, Zhiyong - In: Stochastic Processes and their Applications 124 (2014) 12, pp. 3921-3947

In this paper, we study a kind of system of second order quasilinear parabolic partial differential equation combined …

Persistent link: https://www.econbiz.de/10010940004

A numerical study for a mining project using real options valuation under commodity price uncertainty

Haque, Md. Aminul; Topal, Erkan; Lilford, Eric - In: Resources Policy 39 (2014) C, pp. 115-123

Commodity price is an important factor for mining companies, as price volatility is a key parameter for mining project evaluation and investment decision making. The conventional discounted cash flow (DCF) methods are broadly used for mining project valuations, however, based on commodity price...

Persistent link: https://www.econbiz.de/10010744419

Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code

Li, Bin; Tang, Qihe; Wang, Lihe; Zhou, Xiaowen - In: Journal of financial engineering 1 (2014) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10010508024

The existence and uniqueness of fuzzy solutions for hyperbolic partial differential equations

Long, Hoang Viet; Nguyen, Thi Kim Son; Nguyen, Thi My Ha; … - In: Fuzzy optimization and decision making : a journal of … 13 (2014) 4, pp. 435-462

Persistent link: https://www.econbiz.de/10010438992