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An efficient Monte Carlo based approach for the simulation of future annuity values
Bacinello, Anna Rita; Millossovich, Pietro; Viviano, Fabio - 2021
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012615282
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Asymptotic methods for asset market equilibrium analysis
Judd, Kenneth L.; Guu, Sy-Ming - 2001
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001558167
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R-Minimizing Hedging in an Incomplete Market : Malliavin Calculus Approach
Xiao, Yajun - 2011
In this paper we derive the locally risk-minimizing hedging for a general contingent claim in an incomplete market via … by the PDE approach. Within the same model we establish the pricing and the locally risk-minimizing hedging formulas for …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013134720
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Asymptotic Methods for Asset Market Equilibrium Analysis
Judd, Kenneth L. - 2001
General equilibrium analysis is difficult when asset markets are incomplete. We make the simplifying assumption that uncertainty is small and use bifurcation methods to compute Taylor series approximations for asset demand and asset market equilibrium. A computer must be used to derive these...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012470594
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Asymptotic Methods for Asset Market Equilibrium Analysis
Judd, Kenneth L. - 2010
General equilibrium analysis is difficult when asset markets are incomplete. We make the simplifying assumption that uncertainty is small and use bifurcation methods to compute Taylor series approximations for asset demand and asset market equilibrium. A computer must be used to derive these...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012763200
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Neural networks and ARMA-GARCH models for foreign exchange risk measurement and assessment
Nsengiyumva, Elysee; Mung'atu, Joseph K.; Kayijuka, Idrissa - In: Cogent economics & finance 12 (2024) 1, pp. 1-15
risks. This study aimed to measure and assess foreign exchange risk utilizing Neural Networks and ARMA-GARCH models. Data on … GBP. This research explores advanced methods for measuring and assessing foreign exchange risk using Neural Networks … for financial institutions, investors, and policymakers, equipping them with robust tools for risk management in currency …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193557
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Modellunsicherheit, verbesserte Fréchet-Hoeffding Schranken und Anwendungen in der Finanzmathematik
Lux, Thibaut - 2017
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012194488
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Uninsurable risk and the determination of real interest rates : an investigation using UK indexed bonds
Barr, David G.; Basu, Parantap; Wada, Kenji - 2012
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010465991
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011300314