Related papers: Variational inequality method in stock loans
We propose a method for variable selection in discriminant analysis with mixed categorical and continuous variables. This method is based on a criterion that permits to reduce the variable selection problem to a problem of estimating…
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…
It is well known that general variational inequalities provide us with a unified, natural, novel and simple framework to study a wide class of unrelated problems, which arise in pure and applied sciences. In this paper, we present a number…
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. However, unlike the Sharpe ratio, which provides a concise…
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…
We study a goal-based portfolio selection problem in which an investor aims to meet multiple financial goals, each with a specific deadline and target amount. Trading the stock incurs a strictly positive transaction cost. Using the…
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a…
We introduce a new system of split variational inequality problems which is a natural extension of split variational inequality problem in semi-inner product spaces. We use the retraction technique to propose an iterative algorithm for…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…
Convergence results are stated for the variational iteration method applied to solve an initial value problem for a system of ordinary differential equations.
In this letter, we prove an inequality involving alternating binomial logarithmic sums by exploiting the variance of the logarithm of the maximum of independent and identically distributed exponential random variables. This inequality was…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
Variational inequalities are modelling tools used to capture a variety of decision-making problems arising in mathematical optimization, operations research, game theory. The scenario approach is a set of techniques developed to tackle…
We use Fourier analysis to access risk in financial products. With it we analyze price changes of e.g. stocks. Via Fourier analysis we scrutinize quantitatively whether the frequency of change is higher than a change in (conserved) company…
The goal of this paper is to provide computational tools able to find a solution of a system of polynomial inequalities. The set of inequalities is reformulated as a system of polynomial equations. Three different methods, two of which…
In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading…
In this paper a special type of difference equations is investigated. The impulses start abruptly at some points and their action continue on given finite intervals. This type of equations is used to model a real process. An algorithm,…
In this paper, we obtain some inequalities by using a kernel and an inequality which is a result of Young inequality. Besides we give some applications to special means.