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Numerical Schemes for Variational Inequalities Arising in International Asset Pricing.

Hodder, James E.; Tourin, Agnès; Zariphopoulou, Thaleia - Université Paris-Dauphine - 2001

This paper introduces a valuation model of international pricing in the presence of political risk. Shipments between countries are charged with shipping costs and the country specific production processes are modelled as diffusion processes. The political risk is modelled as a continous time...

Persistent link: https://www.econbiz.de/10009018423

Viscosity solutions and numerical schemes for investment/consumption models with transaction costs

Tourin, Agnès; Zariphopoulou-Souganidis, Thaleia - In: Numerical methods in finance, (pp. 245-269). 2008

Persistent link: https://www.econbiz.de/10003723951

Measuring the diversification of a loan portfolio

Tourin, Agnès - In: International journal of bonds and derivatives 4 (2020) 2, pp. 104-113

Persistent link: https://www.econbiz.de/10012505156

Dynamic pairs trading using the stochastic control approach

Tourin, Agnès; Yan, Raphael - In: Journal of economic dynamics & control 37 (2013) 10, pp. 1972-1981

Persistent link: https://www.econbiz.de/10010196951

Optimal bank management under capital and liquidity constraints

Astic, Fabian; Tourin, Agnès - In: Journal of financial engineering 1 (2014) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10010508026

On the credit risk of secured loans with maximum loan-to-value covenants

Astic, Fabian; Tourin, Agnès - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-19

Persistent link: https://www.econbiz.de/10010498789

Optimal pairs trading with time-varying volatility

Li, Thomas Nanfeng; Tourin, Agnès - In: International journal of financial engineering 3 (2016) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10011588167

A finite difference scheme for pairs trading with transaction costs

Li, Zequn; Tourin, Agnès - In: Computational economics 60 (2022) 2, pp. 601-632

Persistent link: https://www.econbiz.de/10013380794

Evaluation of manufacturing investments : a comparison of US and Japanese practices

Hodder, James E. - In: Financial management 15 (1986) 1, pp. 17-24

Persistent link: https://www.econbiz.de/10001019401

Is the cost of capital lower in Japan?

Hodder, James E. - In: Journal of the Japanese and international economies : … 5 (1991) 1, pp. 86-100

Persistent link: https://www.econbiz.de/10015167527

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