5,809 research outputs found
The History of the Quantitative Methods in Finance Conference Series. 1992-2007
This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.
DOC 2015-03 Master of Finance
Legislative Authority. Constitution of the Academic Senate of the University of Dayton, Article ll.B.
The size of the largest fluctuations in a market model with Markovian switching
This paper considers the size of the large fluctuations of a stochastic differential equation with Markovian switching. We concentrate on processes which obey the Law of the Iterated Logarithm, or obey upper and lower iterated logarithm growth bounds on their almost sure partial maxima. The results are applied to financial market models which are subject to random regime shifts. We prove that the security exhibits the same long-run growth properties and deviations from the trend rate of growth as conventional geometric Brownian motion, and also that the returns, which are non-Gaussian, still exhibit the same growth rate in their almost sure large deviations as stationary continuous-time Gaussian processes
Approximation methods for hybrid diffusion systems with state-dependent switching processes : numerical algorithms and existence and uniqueness of solutions
By focusing on hybrid diffusions in which continuous dynamics and discrete events coexist, this work is concerned with approximation of solutions for hybrid stochastic differential equations with a state-dependent switching process. Iterative algorithms are developed. The continuous-state dependent switching process presents added difficulties in analyzing the numerical procedures. Weak convergence of the algorithms is established by a martingale problem formulation first. This weak convergence result is then used as a bridge to obtain strong convergence. In this process, the existence and uniqueness of the solution of the switching diffusions with continuous-state-dependent switching are obtained. Different from the existing results of solutions of stochastic differential equations in which the Picard iterations are utilized, Euler's numerical schemes are considered here. Moreover, decreasing stepsize algorithms together with their weak convergence are given. Numerical experiments are also provided for demonstration
Dynamic Credit Investment in Partially Observed Markets
We consider the problem of maximizing expected utility for a power investor
who can allocate his wealth in a stock, a defaultable security, and a money
market account. The dynamics of these security prices are governed by geometric
Brownian motions modulated by a hidden continuous time finite state Markov
chain. We reduce the partially observed stochastic control problem to a
complete observation risk sensitive control problem via the filtered regime
switching probabilities. We separate the latter into pre-default and
post-default dynamic optimization subproblems, and obtain two coupled
Hamilton-Jacobi-Bellman (HJB) partial differential equations. We prove
existence and uniqueness of a globally bounded classical solution to each HJB
equation, and give the corresponding verification theorem. We provide a
numerical analysis showing that the investor increases his holdings in stock as
the filter probability of being in high growth regimes increases, and decreases
his credit risk exposure when the filter probability of being in high default
risk regimes gets larger
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