Search results | J. Murrey Atkins Library

Title: A Dynamic Approach to Optimizing Interventions and Mitigating Contagion Impacts in Financial Networks
Author: Farthing, Christopher
Date Created: 2021
Subjects--Topical: Mathematics, Finance, Economics
Description: While modern financial networks are so large, complex, and dynamic that the interactions between their members are impossible to model in their entirety, mathematical models with some simplifying assumptions allow for effective study of network dy...

Title: A Unified Treatment of Derivative Pricing and Forward Decision Problems Within HJM Framework
Author: Zou, Wenhua
Date Created: 2012
Subjects--Topical: Mathematics, Finance
Description: We study the HJM approach which was originally introduced in the fixed income market by David Heath, Robert Jarrow and Andrew Morton and later was implemented in the case of European option market by Martin Schweizer, Johannes Wissel, Rene Carmona...

Title: OPTION VALUATION UNDER A REGIME-SWITCHING MODEL USING THE FAST FOURIER TRANSFORM
Author: Sohrabi, Elham
Date Created: 2018
Subjects--Topical: Finance, Mathematics
Description: In this dissertation, we consider European-style commodity options and futures options where the logarithm of the underlying commodity price dynamics is governed by the regime-switching Ornstein-Uhlenbeck model. A semi-analytical approach to value...

Title: On lambda-quantile dependent convex risk measures
Author: Xia, Lihong
Date Created: 2011
Subjects--Topical: Mathematics, Finance
Description: We define a class of convex measures of risk whose values depend on the random variables only up to the lambda-quantiles for some given constant lambda in (0,1). For this class of convex risk measures, the assumption of Fatou property can be stren...