34 research outputs found
Esercizi sulle funzioni: modelli lineari e non lineari con applicazioni all’economia
Quaderno di Didattic
Esercizi di algebra lineare e sistemi di equazioni lineari con applicazioni all'economia
Quaderno di Didattic
Esercizi di matematica finanziaria: regimi finanziari, rendite e ammortamenti
Quaderno di Didattic
A model for pricing real estate derivatives with stochastic interest rates
The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into account the real estate market sensitivity to the interest rate term structure in this paper is presented a two-factor model where the real estate asset value and the spot rate dynamics are jointly modeled. The pricing problem for both European and American options is then
analyzed and since no closed-form solution can be found a bidimensional binomial lattice framework is adopted. The model proposed allows calibration to the interest rate and volatility term structures
Esercizi di Matematica Finanziaria su foglio elettronico Excel
Quaderno didattico del Dipartimento di Matematica Applicata, Università Ca' Foscari Venezi
Spatial Aggregation in Scenario Tree Reduction
The solution of a multistage stochastic programming problem needs a suitable representation of uncertainty which may be obtained through a satisfactory scenario tree construction. There is a trade-off between the level of accuracy in the description of the stochastic component and the computational tractability of the resulting scenario-based problem. In order to face such a trade-off which plays a crucial role in the determination of the optimal solution, we discuss methods that allow progressive reductions of a given scenario tree by means of spatial aggregation. In this process it is important to take into account the choice of proper aggregation criteria in order to try to preserve all the relevant information