The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation. While being close to consumption/investment models of Mathematical Finance, dividend optimization models possess special features which do not allow...

The main discretization schemes for diffusion processes, both unrestricted and reflecting in a hyper-rectangle, are considered. For every discretized path, an `antithetic' path is obtained by changing the sign of the driving random variables, which are chosen symmetric. It is shown that, under...

The paper studies the application of the balanced method in hidden Markov chain filtering, an important practical area that requires the strong numerical solution of stochstic differential equations with multiplicative noise. Numerical experiments are conducted to enable comparisons between the...

This paper suggests a short term interest rate model. It incorporates inflation rate, market variance, market net growth rate and market volatility trend. Empirical evidence from different markets supports the model.

Simple sufficient conditions for the existence of a unique equivalent martingale measure are provided. Furthermore, these conditions give us a handle on situations where an equivalent martingale measure cannot exist. The existence of a unique equivalent martingale measure is of relevance to...

Let Xt, t ∈ [0,T], be the solution of a stochastic differential equation, and let Xth, t ∈ [0,T], be the Euler approximation with the step h = Tn. It is known that, for a wide class of functions f, the error Ef(XTh) − Ef(XT) is O(h) or, more exactly, C · h + O(h2). We propose an extension...