Relevant bibliographies by topics / Finance Finance Stochastic analysis

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Finance Finance Stochastic analysis'

Author: Grafiati
Published: 4 June 2021
Last updated: 15 February 2022

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Journal articles on the topic "Finance Finance Stochastic analysis"

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Carmona, René, Martin Schweizer, and Nizar Touzi. "Stochastic Analysis in Finance and Insurance." Oberwolfach Reports 11, no. 2 (2014): 1279–312. http://dx.doi.org/10.4171/owr/2014/23.

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Rheinlander, Thorsten. "Introductory Stochastic Analysis for Finance and Insurance." Journal of the American Statistical Association 102, no. 478 (2007): 765–66. http://dx.doi.org/10.1198/jasa.2007.s195.

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Kao, Erin H., Chuan-Hao Hsu, Yunlin Lu, and Hung-Gay Fung. "Ranking of finance journals: a stochastic dominance analysis." Managerial Finance 42, no. 4 (2016): 312–23. http://dx.doi.org/10.1108/mf-04-2015-0125.

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Purpose – Prior studies in citation-based journal rankings tend to be static to compare across journals. One journal may be judged better in citations than other journals at some points in time but not at the others. The assumption that the citation distribution is normally distributed and that the citation observations are independent and identically distributed (i.i.d.) may not be appropriate. The paper aims to discuss these issues. Design/methodology/approach – This study uses a stochastic dominance (SD) analysis, which overcomes the dynamic nature of changes in citation over time. The SD m
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Sadalia, Isfenti, Muhammad Haikal Kautsar, Nisrul Irawati, and Iskandar Muda. "Analysis of the efficiency performance of Sharia and conventional banks using stochastic frontier analysis." Banks and Bank Systems 13, no. 2 (2018): 27–38. http://dx.doi.org/10.21511/bbs.13(2).2018.03.

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There are two sectors of banks operating in Indonesia, namely Sharia banks and conventional banks. Improving performance is important in maintaining public confidence in the bank. Efficiency is one of the parameters to measure the performance of Sharia banks. This study measures the comparative level of technical efficiency of Sharia commercial banks and conventional banks by Stochastic Frontier Analysis method during 2011–2015 period by using 10 samples of Sharia commercial banks and conventional banks. Input variables in this study are total deposits, operational costs, and other operational
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Janssen, Jacques. "Applied stochastic models and data analysis. Special Issue on Finance." Applied Stochastic Models and Data Analysis 8, no. 3 (1992): i. http://dx.doi.org/10.1002/asm.3150080302.

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Sallam, Sahar Shawky. "Determinants of private investment in Egypt: an empirical analysis." Review of Economics and Political Science 4, no. 3 (2019): 257–66. http://dx.doi.org/10.1108/reps-12-2018-0043.

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Purpose This paper aims to study the determinants of private investment in Egypt while accounting for uncertainty associated with financing decisions of the firm using time series analysis over the period 1982-2015. The analysis is based on Tobin’s (1969) Q-theory of investment. The variables used in the empirical model are investment rate, average q index, prices of capital goods, internal finance and external finance. Design/methodology/approach This research is concerned with the model specification of a dynamic Average Q model. In that respect, the current research describes the data, pres
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Stoyanov, Jordan. "Introductory Stochastic Analysis for Finance and Insurance by X. S. Lin." Journal of the Royal Statistical Society: Series A (Statistics in Society) 170, no. 2 (2007): 508–9. http://dx.doi.org/10.1111/j.1467-985x.2007.00473_11.x.

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Sasikumar, R. "An enhanced applications of brownian motion to mathematical finance in stochastic modeling." Journal of Interdisciplinary Mathematics 14, no. 4 (2011): 471–81. http://dx.doi.org/10.1080/09720502.2011.10700765.

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Conte, Andrea. "Is Italian R&D spending becoming more efficient?" ECONOMIA E POLITICA INDUSTRIALE, no. 2 (June 2009): 187–98. http://dx.doi.org/10.3280/poli2009-002009.

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- The recent economic downturn is putting increasing pressure on governments to improve the quality of their public finances. Using macro-economic data on R&D expenditures and patents, this paper aims to determine whether business and government R&D spending has become more efficient over time and in comparison to other EU countries. Descriptive evidence is coupled with empirical estimates of cross-country efficiency of R&D expenditure calculated by the Stochastic Frontier Analysis. . Keywords: R&D, patents, efficiency, public finance Parole chiave: R&S, brevetti, efficienz
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Hayre, Lakhbir S., Charles Huang, and Vincent Pica. "Stochastic Horizon Analysis." Journal of Fixed Income 3, no. 1 (1993): 48–53. http://dx.doi.org/10.3905/jfi.1993.408074.

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Dissertations / Theses on the topic "Finance Finance Stochastic analysis"

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Dahl, Lars Oswald. "Numerical analysis and stochastic modeling in mathematical finance." Doctoral thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2002. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-1678.

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<p>The main goal of this thesis has been to study and develop faster and more accurate methods for pricing and hedging exotic options. This has involved work on models describing prices and hedges as well as the stochastics driving them. We have also put effort into algorithmic interpretation and implementation of the models to enable efficiency measurement with regards to computing time. In some of the articles we have aspired to find criteria to decide whether the pricing methods we have developed can be expected to perform well, enabling practicians to find a good numerical method for their
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Perkowski, Nicolas Simon. "Studies of robustness in stochastic analysis and mathematical finance." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2014. http://dx.doi.org/10.18452/16895.

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Diese Dissertation behandelt Fragen aus der stochastischen Analysis und der Finanzmathematik, die sich unter dem Begriff der Robustheit zusammenfassen lassen. Zunächst betrachten wir finanzmathematische Modelle mit Arbitragemöglichkeiten. Wir identifizieren die Abwesenheit von Arbitragemöglichkeiten der ersten Art (NA1) als minimale Eigenschaft, die in jedem finanzmathematischen Modell gelten muss, und zeigen, dass (NA1) äquivalent zur Existenz eines dominierenden lokalen Martingalmaßes ist. Als Beispiel für Prozesse, die (NA1) erfüllen, studieren wir stetige lokale Martingale, die darauf be
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Cass, Thomas Richard. "Applications of Malliavin calculus in stochastic analysis and mathematical finance." Thesis, University of Cambridge, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.612064.

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Stoev, Yavor. "Stochastic modelling and equilibrium in mathematical finance and statistical sequential analysis." Thesis, London School of Economics and Political Science (University of London), 2015. http://etheses.lse.ac.uk/3154/.

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The focus of this thesis are the equilibrium problem under derivative market imbalance, the sequential analysis problems for some time-inhomogeneous diffusions and multidimensional Wiener processes, and the first passage times of certain non-affine jump-diffusions. First, we investigate the impact of imbalanced derivative markets - markets in which not all agents hedge - on the underlying stock market. The availability of a closed-form representation for the equilibrium stock price in the context of a complete (imbalanced) market with terminal consumption allows us to study how this equilibriu
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Zhou, Wei, and 周硙. "Topics in optimal stopping with applications in mathematical finance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B46582046.

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Casas, Villalba Isabel. "Statistical inference in continuous-time models with short-range and/or long-range dependence." University of Western Australia. School of Mathematics and Statistics, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0133.

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The aim of this thesis is to estimate the volatility function of continuoustime stochastic models. The estimation of the volatility of the following wellknown international stock market indexes is presented as an application: Dow Jones Industrial Average, Standard and Poor’s 500, NIKKEI 225, CAC 40, DAX 30, FTSE 100 and IBEX 35. This estimation is studied from two different perspectives: a) assuming that the volatility of the stock market indexes displays shortrange dependence (SRD), and b) extending the previous model for processes with longrange dependence (LRD), intermediaterange dependence
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Fordred, Gordon Ian. "An application of the Malliavin calculus in finance." Diss., Pretoria : [s.n.], 2009. http://upetd.up.ac/thesis/available/etd-07062009-123751.

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Dashti, Moghaddam Mohammadamin. "Stochastic Phenomena in Finance, Economics, Cognitive Psychology -- Modeling with Generalized Beta Prime." University of Cincinnati / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1571061904950758.

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Rich, Don R. "Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-06062008-171359/.

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Riga, Candia. "Calcul fonctionnel non-anticipatif et applications en finance." Thesis, Paris 6, 2015. http://www.theses.fr/2015PA066737/document.

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Cette thèse développe une approche trajectorielle pour la modélisation des marchés financiers en temps continu, sans faire appel à des hypothèses probabilistes ou à des modèles stochastiques. À l'aide du calcul fonctionnel non-anticipatif, nous identifions une classe spéciale de stratégies de trading que nous prouvons être auto-finançantes, selon une notion trajectorielle introduite dans cette thèse, et dont le gain peut être calculé trajectoire par trajectoire comme limite de sommes de Riemann. Avec ces outils, nous proposons un cadre analytique pour analyser la performance et la robustesse d
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Books on the topic "Finance Finance Stochastic analysis"

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Stochastic calculus for finance. Springer, 2004.

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Choe, Geon Ho. Stochastic Analysis for Finance with Simulations. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-25589-7.

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Stochastic finance: A numeraire approach. CRC Press, 2011.

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Elementary stochastic calculus with finance in view. World Scientific Publ., 1998.

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Lin, X. Sheldon. Introductory Stochastic Analysis for Finance and Insurance. John Wiley & Sons, Ltd., 2006.

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Lin, X. Sheldon. Introductory stochastic analysis for finance and insurance. Wiley-Interscience, 2005.

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Introductory stochastic analysis for finance and insurance. Wiley-Interscience, 2006.

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Lin, X. Sheldon. Introductory Stochastic Analysis for Finance and Insurance. John Wiley & Sons, Inc., 2006. http://dx.doi.org/10.1002/0471793213.

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Royal Society (Great Britain). Stochastic analysis with applications to mathematical finance. Royal Society, 2004.

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Dupačová, Jitka. Stochastic modeling in economics and finance. Kluwer Academic Publishers, 2002.

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Book chapters on the topic "Finance Finance Stochastic analysis"

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Crépey, Stéphane. "Elements of Stochastic Analysis." In Springer Finance. Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-37113-4_3.

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Hacιsalihzade, Selim S. "Stochastic Analysis." In Control Engineering and Finance. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-64492-9_5.

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Carkovs, Jevgenijs, and Jordan Stoyanov. "Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables." In From Stochastic Calculus to Mathematical Finance. Springer Berlin Heidelberg, 2006. http://dx.doi.org/10.1007/978-3-540-30788-4_5.

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Malliavin, Paul. "Itô Atlas, its Application to Mathematical Finance and to Exponentiation of Infinite Dimensional Lie Algebras." In Stochastic Analysis and Applications. Springer Berlin Heidelberg, 2007. http://dx.doi.org/10.1007/978-3-540-70847-6_22.

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Zheng, Ziyu. "Numerical Analysis of Stochastic Differential Systems and its Applications in Finance." In Handbook of Computational and Numerical Methods in Finance. Birkhäuser Boston, 2004. http://dx.doi.org/10.1007/978-0-8176-8180-7_12.

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Hommes, Cars, Gerhard Sorger, and Florian Wagener. "Consistency of Linear Forecasts in a Nonlinear Stochastic Economy." In Global Analysis of Dynamic Models in Economics and Finance. Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-29503-4_10.

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Angelova, Vera. "Local Perturbation Analysis of the Stochastic Matrix Riccati Equation with Applications in Finance." In Advanced Computing in Industrial Mathematics. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-65530-7_1.

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Malliaris, A. G. "Stochastic Optimal Control." In Finance. Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_28.

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Merton, Robert C. "Continuous-time Stochastic Models." In Finance. Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_10.

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Huang, Chi-Fu. "Continuous-time Stochastic Processes." In Finance. Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_11.

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Conference papers on the topic "Finance Finance Stochastic analysis"

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Tang, J., and S. S. T. Yau. "Exotic option, stochastic volatility and incentive scheme." In COMPUTATIONAL FINANCE 2006. WIT Press, 2006. http://dx.doi.org/10.2495/cf060181.

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Batalova, N. V., V. Maroussov, and F. G. Viens. "Selection of an optimal portfolio with stochastic volatility and discrete observations." In COMPUTATIONAL FINANCE 2006. WIT Press, 2006. http://dx.doi.org/10.2495/cf060361.

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Stoyanov, Jordan. "Moment Properties of Probability Distributions Used in Stochastic Financial Models." In TMU Finance Workshop 2014. WORLD SCIENTIFIC, 2016. http://dx.doi.org/10.1142/9789814730778_0001.

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Yan, Zhuang. "Evolutionary game analysis of formal finance and private finance." In 2011 8th International Conference on Service Systems and Service Management (ICSSSM 2011). IEEE, 2011. http://dx.doi.org/10.1109/icsssm.2011.5959370.

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Karatzas, Ioannis. "Some Stochastic Control Problems in Mathematical Finance." In 2007 American Control Conference. IEEE, 2007. http://dx.doi.org/10.1109/acc.2007.4283171.

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Augeraud-Véron, Emmanuelle, and Delphine David. "A stochastic overlapping generation model with a continuum of agents." In Advances in Mathematics of Finance. Institute of Mathematics Polish Academy of Sciences, 2008. http://dx.doi.org/10.4064/bc83-0-2.

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Federico, Salvatore. "A pension fund in the accumulation phase: a stochastic control approach." In Advances in Mathematics of Finance. Institute of Mathematics Polish Academy of Sciences, 2008. http://dx.doi.org/10.4064/bc83-0-5.

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Romanov, V., V. Slepov, M. Badrina, and A. Federyakov. "Multifractal analysis and multiagent simulation for market crash prediction." In COMPUTATIONAL FINANCE 2008. WIT Press, 2008. http://dx.doi.org/10.2495//cf080021.

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Pan, Chung-Lien, Jingjing Qiu, Zizhen Chen, and Yu-Chun Pan. "Literature Review and Content Analysis: Internet Finance, Green Finance, and Sustainability." In 5th International Conference on Financial Innovation and Economic Development (ICFIED 2020). Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.200306.062.

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Tang, Shanjian. "Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations." In Proceedings of the International Conference on Mathematical Finance. WORLD SCIENTIFIC, 2001. http://dx.doi.org/10.1142/9789812799579_0016.

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Reports on the topic "Finance Finance Stochastic analysis"

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Fernandez, Raquel, and Richard Rogerson. Equity and Resources: An Analysis of Education Finance Systems. National Bureau of Economic Research, 1999. http://dx.doi.org/10.3386/w7111.

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Hubbell, Ryan, Travis Lowder, Michael Mendelsohn, and Karlynn Cory. Renewable Energy Finance Tracking Initiative (REFTI) Solar Trend Analysis. Office of Scientific and Technical Information (OSTI), 2012. http://dx.doi.org/10.2172/1052498.

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Kerr, William, Josh Lerner, and Antoinette Schoar. The Consequences of Entrepreneurial Finance: A Regression Discontinuity Analysis. National Bureau of Economic Research, 2010. http://dx.doi.org/10.3386/w15831.

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Chen, Hui, and Scott Joslin. Generalized Transform Analysis of Affine Processes and Applications in Finance. National Bureau of Economic Research, 2011. http://dx.doi.org/10.3386/w16906.

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Thompson, Peter, Peter Larsen, Chris Kramer, and Charles Goldman. Energy Efficiency Finance Programs: Use Case Analysis to Define Data Needs and Guidelines. Office of Scientific and Technical Information (OSTI), 2014. http://dx.doi.org/10.2172/1331051.

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Hayashi, Fumio, Takatoshi Ito, and Joel Slemrod. Housing Finance Imperfections and Private Saving: A Comparative Simulation Analysis of the U.S. and Japan. National Bureau of Economic Research, 1987. http://dx.doi.org/10.3386/w2272.

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Bennis, Jerry. Information Management Functional Economic Analysis for Finance Workstations to the Defense Information Technology Services Organization. Defense Technical Information Center, 1993. http://dx.doi.org/10.21236/ada262633.

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Bennis, Jerry. Information Management Functional Economic Analysis for Finance Communications to the Defense Information Technology Services Organization. Defense Technical Information Center, 1993. http://dx.doi.org/10.21236/ada262635.

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Viguri, Sofía, Sandra López Tovar, Mariel Juárez Olvera, and Gloria Visconti. Analysis of External Climate Finance Access and Implementation: CIF, FCPF, GCF and GEF Projects and Programs by the Inter-American Development Bank. Inter-American Development Bank, 2021. http://dx.doi.org/10.18235/0003008.

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In response to the Paris Agreement and the Sustainable Development Goals (SDGs), the IDB Group Board of Governors endorsed the target of increasing climate-related financing in Latin America and the Caribbean (LAC) from 15% in 2015 to 30% of the IDB Groups combined total approvals by 2020. Currently, the IDB Group is on track to meet this commitment, as in 2018, it financed nearly US$5 billion in climate-change-related activities benefiting LAC, which accounted for 27% of total IDB Groups annual approvals. In 2019, the overall volume and proportion of climate finance in new IDBG approvals have
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Spivack, Marla. Applying Systems Thinking to Education: The RISE Systems Framework. Research on Improving Systems of Education (RISE), 2021. http://dx.doi.org/10.35489/bsg-rise-ri_2021/028.

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Many education systems in low- and middle-income countries are experiencing a learning crisis. Many efforts to address this crisis do not account for the system features of education, meaning that they fail to consider the ways that interactions and feedback loops produce outcomes. Thinking through the feedback relationships that produce the education system can be challenging. The RISE Education Systems Framework, which is sufficiently structured to give boundaries to the analysis but sufficiently flexible to be adapted to multiple scenarios, can be helpful. The RISE Framework identifies four
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