54 research outputs found

    Bond markets where prices are driven by a general marked point process

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    We investigate the term structure for the case when interest rates are allowed to be driven by a general marked point process as well as by a Wiener process. Developing a theory which allows for measure-valued trading portfolios we study existence and uniqueness of a martingale measure, as well as completeness of the bond market. We also give sufficient conditions for the existence of an affine term structure. Developing the appropriate forward measures we give formulas for interest rate derivatives.Term structure of interest rates; arbitrage; bond markets; interest rates; martingales; jump processes; completeness; affine term structure

    Ein bemerkenswerter Unterschied zwischen Personen und Schiffen

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    Predicting the time rate of supply from a petroleum play

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    and CREST

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    process and applications to optimal stopping problems under partial observatio

    Hedging of options under discrete observation on assets with stochastic volatility.

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    The paper considers the hedging of contingent claims on assets with stoachstic volatilities when the asset price is only observable at discrete time instants. Explicit fomulae are given for risk-minimizing hedging strategies

    Financial Mathematics - Theory and Problems for Multi-period Models

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    With the Bologna Accords a bachelor-master-doctor curriculum has been introduced in various countries with the intention that students may enter the job market already at the bachelor level. Since financial Institutions provide non negligible job opportunities also for mathematicians, and scientists in general, it appeared to be appropriate to have a financial mathematics course already at the bachelor level in mathematics. Most mathematical techniques in use in financial mathematics are related to continuous time models and require thus notions from stochastic analysis that bachelor students do in general not possess. Basic notions and methodologies in use in financial mathematics can however be transmitted to students also without the technicalities from stochastic analysis by using discrete time (multi-period) models for which general notions from Probability suffice and these are generally familiar to students not only from science courses, but also from economics with quantitative curricula. There do not exists many textbooks for multi-period models and the present volume is intended to fill in this gap. It deals with the basic topics in financial mathematics and, for each topic, there is a theoretical section and a problem section. The latter includes a great variety of possible problems with complete solution
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