Search Results - subject:"stochastic calculus"

Financial markets with volatility uncertainty

Vorbrink, Jörg - 2010

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...

Persistent link: https://www.econbiz.de/10010285421

Financial markets with volatility uncertainty

Vorbrink, Jörg - Institut für Mathematische Wirtschaftsforschung, … - 2010

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G–expectation and its corresponding G–Brownian motion...

Persistent link: https://www.econbiz.de/10008752558

The stochastic seasonal behavior of freight rate dynamics

Poblacion, Javier - In: Maritime economics & logistics : a quarterly scientific … 17 (2015) 2, pp. 142-162

Persistent link: https://www.econbiz.de/10011378738

THE LIQUIDITY ON THE MARKET GOVERNED BY ORDERS

Negrea, Bogdan - In: Theoretical and Applied Economics 12(517)(supplement) (2008) 12(517)(supplement), pp. 24-30

This paper proposes a new method based on stochastic calculus in order to analyze the liquidity on the market governed …

Persistent link: https://www.econbiz.de/10008763688

Taylor's series for non-differentiable functions

Moawia, Alghalith - In: Mathematical Economics Letters 1 (2014) 2-4, pp. 3-3

We develop a new Taylor-based series that is applicable to non-differentiable functions.

Persistent link: https://www.econbiz.de/10010798175

Diffusions of multiplicative cascades

Alberts, Tom; Rifkind, Ben - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 1141-1169

conditions, it is also continuous. For Gaussian independent increment processes we develop the infinite-dimensional stochastic … calculus that describes the evolution of the measure process, and use it to compute the optimal Hölder exponent in the …

Persistent link: https://www.econbiz.de/10011065115

Financial markets with volatility uncertainty

Vorbrink, Jörg - In: Journal of Mathematical Economics 53 (2014) C, pp. 64-78

We investigate financial markets under model risk caused by uncertain volatilities. To this end, we consider a financial market that features volatility uncertainty. We use the notion of G-expectation and its corresponding G-Brownian motion recently introduced by Peng (2007) to ensure a...

Persistent link: https://www.econbiz.de/10011065409

First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

Financial markets with volatility uncertainty

Vorbrink, Jörg - In: Journal of mathematical economics 53 (2014), pp. 64-78

Persistent link: https://www.econbiz.de/10011297142

Information Efficiency of the Capital Market: a Stochastic Calculus Approach Evidence from the Czech Republic (in English)

Pošta, Vít; Hackl, Zbynìk - In: Czech Journal of Economics and Finance (Finance a uver) 57 (2007) 5-6, pp. 235-254

This paper deals with an important characteristic of the capital market: information efficiency. With the use of geometric Brownian motion, the authors run several projections of stock prices based on varying amount of historic information and compare these projections with the real behavior of...

Persistent link: https://www.econbiz.de/10005673567