Financial applications of bivariate Markov processes

DOI10.1155/2011/347604zbMath1235.91158OpenAlexW2053986451WikidataQ58692930 ScholiaQ58692930MaRDI QIDQ410357

Enrico Angelelli, Annamaria Bianchi, Sergio Ortobelli Lozza

Publication date: 3 April 2012

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/347604

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (7)

Joint tails impact in stochastic volatility portfolio selection models ⋮ Asymptotic multivariate dominance: a financial application ⋮ Portfolio optimization with asset preselection using data envelopment analysis ⋮ A trend-based segmentation method and the support vector regression for financial time series forecasting ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ Valuation of R\&D compound option using Markov chain approach ⋮ Modeling learning in knowledge space theory through bivariate Markov processes

Uses Software

• RiskMetrics

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain
• Nonparametric Pricing of Interest Rate Derivative Securities
• American option pricing under GARCH by a Markov chain approximation

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