Engineering of Guangzhou International Finance Centre
نویسندگان
چکیده
منابع مشابه
Quantitative Finance Research Centre
This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusions with negative jumps. The central building block of the market model is its growth optimal portfolio (GOP), which maximizes the growth rate of strictly positive portfolios. Primary security account prices, when exp...
متن کاملQuantitative Finance Research Centre
We present the multi-factor quadratic reduced form model for pricing of credit risky securities. We use quadratic Gaussian processes to model the short term interest rate and the intensity of default showing that we get tractable formulas for the price of credit default swaps and credit default swaptions.
متن کاملQuantitative Finance Research Centre Quantitative F Inance Research Centre Quantitative Finance Research Centre
In this paper, we consider the infinite-dimensional integration problem on weighted reproducing kernel Hilbert spaces with norms induced by an underlying function space decomposition of ANOVA-type. The weights model the relative importance of different groups of variables. We present new randomized multilevel algorithms to tackle this integration problem and prove upper bounds for their randomi...
متن کاملQuantitative Finance Research Centre Quantitative F Inance Research Centre Quantitative Finance Research Centre
In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes of the Heston (1993) type. We derive the associated partial differential equation (PDE) of the option price using hedging arguments and Ito’s lemma. An integral expression for the general solution of the PDE is presented b...
متن کاملCentre for Banking and Finance
This paper examines the effectiveness of strategic planning in commercial banks and how management styles influence (or reflect influences) on diversification decisions within bank markets. The research is based on and further develops a framework proposed by Goold and Campbell (1987) and Goold et al. (1994) by testing the strategic response of banks to changes in their growth opportunities. Ch...
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ژورنال
عنوان ژورنال: International Journal of High-Rise Buildings
سال: 2017
ISSN: 2234-7224
DOI: 10.21022/ijhrb.2016.5.4.49