Search Results - subject:"stochastic integral"

Property analysis of multivariate conditional linear random processes in the problems of mathematical modelling of signals

Fryz, Mykhailo; Mlynko, Bogdana - In: Technology audit and production reserves 3 (2022) 2/65, pp. 29-32

Persistent link: https://www.econbiz.de/10013326596

"Performance and effects of linear feedback stock trading strategies"

Baumann, Michael - 2018

Persistent link: https://www.econbiz.de/10012153001

Weak Convergence to Stochastic Integrals for Econometric Applications

Liang, Hanying; Phillips, Peter C.B.; Wang, Hanchao; … - Cowles Foundation for Research in Economics, Yale University - 2014

complications in the limit theory. This paper explores weak convergence limit theory to stochastic integral functionals in such …

Persistent link: https://www.econbiz.de/10011096424

Weak convergence to stochastic integrals for econometric applications

Liang, Hanying; Phillips, Peter C. B.; Wang, Hanchao; … - 2014

Persistent link: https://www.econbiz.de/10010470638

Mean-Variance Hedging in Large Financial Markets

Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2009

We consider a mean-variance hedging (MVH) problem for an arbitrage-free large financial market, that is, a financial market with countably many risky assets modelled by a sequence of continuous semimartingales. By using the stochastic integration theory for a sequence of semimartingales...

Persistent link: https://www.econbiz.de/10011072271

Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model

Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009

Persistent link: https://www.econbiz.de/10008662364

Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies

Kardaras, Constantinos; Platen, Eckhard - Finance Discipline Group, Business School - 2008

28. Key words and phrases. Semimartingales; buy-and-hold strategies; stochastic integral; Unbounded Profit with Bounded … stochastic integral, discussed in §3.2 and §3.3, which is sensible from a trading viewpoint. Remark 3.2. In the statement of … when piiζSi = 1 all wealth is at time ζSi invested in the ith asset. 3.3. Stochastic integral approximation in a …

Persistent link: https://www.econbiz.de/10004984515

Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes

Davidson, James; Hashimzade, Nigar - Business School, University of Exeter - 2008

This paper considers the asymptotic distribution of the covariance of a nonstationary fractionally integrated process with the stationary increments of another such process - possibly, itself. Questions of interest include the relationship between the harmonic representation of these random...

Persistent link: https://www.econbiz.de/10008852494

Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model

Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008

subfiltration structure. The Euler-Maruyama stochastic integral approximation and the Monte Carlo method are applied to develop a … ‚(t) = ‚(t;t): (13) From (12) it follows that the stochastic integral equation for ‚(t) may be written ‚(t) = ‚(t;t) = ‚(0 … used to approximate the stochastic integral equation (18) (see Kloeden and Platen (1999)). We start by considering at time …

Persistent link: https://www.econbiz.de/10003857131

Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes

Davidson, James; Hashimzade, Nigar - School of Economics and Management, University of Aarhus - 2007

This paper considers the asymptotic distribution of the covariance of a nonstationary frac- tionally integrated process with the stationary increments of another such process - possibly, itself. Questions of interest include the relationship between the harmonic representation of these random...

Persistent link: https://www.econbiz.de/10005114111