Search Results - subject:"Stochastic clock"

An expanded Local Variance Gamma model

Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987

Persistent link: https://www.econbiz.de/10012543243

Utility maximization in a large market

Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 106-118

Persistent link: https://www.econbiz.de/10011969163

Fractal Market Time

McCulloch, James - Finance Discipline Group, Business School - 2012

conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and … absolute value of market returns is a 'stylized fact' and researchers have interpreted this to imply that the stochastic clock … stochastic clock as the stochastic integrated intensity of a doubly stochastic Poisson (Cox) point process of the cumulative …

Persistent link: https://www.econbiz.de/10010568847

Optimal investment with intermediate consumption and random endowment

Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 96-114

Persistent link: https://www.econbiz.de/10011739444

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

Mostovyi, Oleksii - In: Finance and Stochastics 19 (2015) 1, pp. 135-159

<Para ID="Par1">We consider the problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal...</para>

Persistent link: https://www.econbiz.de/10011151667

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

Mostovyi, Oleksii - In: Finance and stochastics 19 (2015) 1, pp. 135-159

Persistent link: https://www.econbiz.de/10011417138

Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of Derivatives Research 17 (2014) 2, pp. 191-216

Imposing a symmetry condition on returns, Carr and Lee (Math Financ 19(4):523–560, <CitationRef CitationID="CR10">2009</CitationRef>) show that (double) barrier derivatives can be replicated by a portfolio of European options and can thus be priced using fast Fourier techniques (FFT). We show that prices of barrier derivatives in...</citationref>

Persistent link: https://www.econbiz.de/10010989564

Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets

Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; … - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 237-276

Persistent link: https://www.econbiz.de/10010393957

Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216

Persistent link: https://www.econbiz.de/10010529630

Fractal market time

McCulloch, James - In: Journal of Empirical Finance 19 (2012) 5, pp. 686-701

conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and … absolute value of market returns is a ‘stylized fact’ and researchers have interpreted this to imply that the stochastic clock … stochastic clock as the stochastic integrated intensity of a doubly stochastic Poisson (Cox) point process of the cumulative …

Persistent link: https://www.econbiz.de/10010594255