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A Note on Delta Hedging in Markets with Jumps
Delta hedging exact replication martingale representation Black–Merton–Scholes model models with jumps
2011/3/30
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the...
The gauge theory of arbitrage was introduced by Ilinski in [arXiv:hep-th/9710148] and applied to fast money flows in [arXiv:cond-mat/9902044]. The theory of fast money flow dynamics attempts to model...
Note on log-periodic description of 2008 financial crash
Note log-periodic description financial crash
2010/10/20
We analyze the financial crash in 2008 for different financial markets from the point of view of log-periodic function model. In particular, we consider Dow Jones index, DAX index and Hang Seng index...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
evolutionary stochastic portfolio optimization probabilistic constraints
2010/10/18
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
A note on heterogeneous beliefs with CRRA utilities
note on heterogeneous beliefs CRRA utilities
2010/11/1
This note will extend the research presented in Brown & Rogers (2009) to the case of CRRA agents. We consider the model outlined in that paper in which agents had diverse beliefs about the dividends p...
The two phase behavior in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. In this p...