Log in

Relevant bibliographies by topics / Options (Finance) Australia Mathematical models / Journal articles

To see the other types of publications on this topic, follow the link: Options (Finance) Australia Mathematical models.

Journal articles on the topic 'Options (Finance) Australia Mathematical models'

Author: Grafiati

Published: 10 December 2022

Last updated: 31 July 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 27 journal articles for your research on the topic 'Options (Finance) Australia Mathematical models.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse journal articles on a wide variety of disciplines and organise your bibliography correctly.

1

CARMONA, RENÉ, and SERGEY NADTOCHIY. "TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION." International Journal of Theoretical and Applied Finance 14, no. 01 (2011): 107–35. http://dx.doi.org/10.1142/s0219024911006280.

Full text

Abstract:

Motivated by the desire to integrate repeated calibration procedures into a single dynamic market model, we introduce the notion of a "tangent model" in an abstract set up, and we show that this new mathematical paradigm accommodates all the recent attempts to study consistency and absence of arbitrage in market models. For the sake of illustration, we concentrate on the case when market quotes provide the prices of European call options for a specific set of strikes and maturities. While reviewing our recent results on dynamic local volatility and tangent Lévy models, we present a theory of t

APA, Harvard, Vancouver, ISO, and other styles

2

Goyal, Rajeev. "Mathematics in Finance: Risk Management and Predictive Analytics." Modern Dynamics: Mathematical Progressions 1, no. 3 (2024): 1–5. https://doi.org/10.36676/mdmp.v1.i3.34.

Full text

Abstract:

The application of mathematical principles in finance has revolutionized risk management and predictive analytics, enabling more precise modeling, assessment, and mitigation of financial risks. This paper explores the critical role of mathematics in developing robust financial models that enhance decision-making processes and improve the accuracy of financial forecasts. Key mathematical techniques, including probability theory, statistics, stochastic processes, and optimization, are examined in the context of their application to risk management and predictive analytics. the use of probability

APA, Harvard, Vancouver, ISO, and other styles

3

Loerx, Andre, and Ekkehard W. Sachs. "Model Calibration in Option Pricing." Sultan Qaboos University Journal for Science [SQUJS] 16 (April 1, 2012): 84. http://dx.doi.org/10.24200/squjs.vol17iss1pp84-102.

Full text

Abstract:

We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give an outlook into modern approaches of modelling. Furthermore, we address important numerical issues in the valuation of options and likewise the calibration of these models. This leads to interesting problems in optimization, where, e.g., the use of adjoint equations or the choice of the parametriza

APA, Harvard, Vancouver, ISO, and other styles

4

Cheng, Zixuan. "Pricing European Call Options with Visualization Based on the Binomial Model, Monte-Carlo Simulation, and Classical Black-Scholes Model." Highlights in Science, Engineering and Technology 88 (March 29, 2024): 311–17. http://dx.doi.org/10.54097/85byzq20.

Full text

Abstract:

After the emergence of financial derivatives, pricing has been focused by a considerable number of mathematicians. With stochastic analysis and some classic probability theories, many new pricing formulas appeared in the quantitative finance field. The improvement of pricing methods of different financial securities has essentially made prices more precise and more strict, thus greatly promoting the development of modern financial markets. In this research paper, the author reviewed three significant option pricing models in mathematical finance, which are the binomial model, classical Black-S

APA, Harvard, Vancouver, ISO, and other styles

5

Fernández, Lexuri, Peter Hieber, and Matthias Scherer. "Double-barrier first-passage times of jump-diffusion processes." mcma 19, no. 2 (2013): 107–41. http://dx.doi.org/10.1515/mcma-2013-0005.

Full text

Abstract:

Abstract. Required in a wide range of applications in, e.g., finance, engineering, and physics, first-passage time problems have attracted considerable interest over the past decades. Since analytical solutions often do not exist, one strand of research focuses on fast and accurate numerical techniques. In this paper, we present an efficient and unbiased Monte-Carlo simulation to obtain double-barrier first-passage time probabilities of a jump-diffusion process with arbitrary jump size distribution; extending single-barrier results by [Journal of Derivatives 10 (2002), 43–54]. In mathematical

APA, Harvard, Vancouver, ISO, and other styles

6

Dubey, Rajesh P., S. Samarawickrama, P. P. Gunaratna, et al. "Mathematical Model Studies for River Regulatory Measures for the Improvement of Draft in Hoogly Estuary, India." International Journal of Engineering and Technologies 2 (October 1, 2014): 1–12. http://dx.doi.org/10.56431/p-740099.

Full text

Abstract:

The Haldia port is situated in the Hooghly estuary, 104 km downstream of Kolkata Port. As a result of high sedimentation, the navigational channel to the Haldia Port is maintained with great amount of dredging (25 MCM per Annum). The paper presents a study carried out to find a solution to improve the channel depth together with minimum maintenance dredging. A desk study was carried out to identify the historical formation of the estuary and the remedial measures implemented in the past. A detailed field investigation was carried out to obtain the relevant data for the calibration of numerical

APA, Harvard, Vancouver, ISO, and other styles

7

HUEHNE, FLORIAN. "DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES." International Journal of Theoretical and Applied Finance 10, no. 03 (2007): 407–35. http://dx.doi.org/10.1142/s0219024907004172.

Full text

Abstract:

We introduce the intensity-based defaultable Lévy Libor model, which generalizes the default-free Lévy Libor model introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance13(2) (2003) 277–300], and the intensity-based defaultable model presented by Bielecki and Rutkowski in [Credit Risk: Modeling, Valuation and Hedging, Springer Finance (Springer-Verlag, 2002)] by embedding it in the defaultable HJM framework introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance1

APA, Harvard, Vancouver, ISO, and other styles

8

Gardini, Matteo, Piergiacomo Sabino, and Emanuela Sasso. "Correlating Lévy processes with self-decomposability: applications to energy markets." Decisions in Economics and Finance 44, no. 2 (2021): 1253–80. http://dx.doi.org/10.1007/s10203-021-00352-9.

Full text

Abstract:

AbstractBased on the concept of self-decomposability, we extend some recent multidimensional Lévy models built using multivariate subordination. Our aim is to construct multivariate Lévy processes that can model the propagation of the systematic risk in dependent markets with some stochastic delay instead of affecting all the markets at the same time. To this end, we extend some known approaches keeping their mathematical tractability, study the properties of the new processes, derive closed-form expressions for their characteristic functions and detail how Monte Carlo schemes can be implement

APA, Harvard, Vancouver, ISO, and other styles

9

Abraham, Rebecca, and Hani El-Chaarani. "A Mathematical Formulation of the Valuation of Ether and Ether Derivatives as a Function of Investor Sentiment and Price Jumps." Journal of Risk and Financial Management 15, no. 12 (2022): 591. http://dx.doi.org/10.3390/jrfm15120591.

Full text

Abstract:

The purpose of this study was to create quantitative models to value ether, ether futures, and ether options based upon the ability of cryptocurrencies to transform existing intermediary-verified payments to non-intermediary-based currency transfers, the ability of ether as a late mover to displace bitcoin as the first mover, and the valuation of ether in the context of investor irrationality models. The risk-averse investor’s utility function is a combination of expectations of the performance of ether, expectations of cryptocurrencies’ transformative power, and expectations of ether supersed

APA, Harvard, Vancouver, ISO, and other styles

10

He, Yifan, and Svetlozar Rachev. "Exploring Implied Certainty Equivalent Rates in Financial Markets: Empirical Analysis and Application to the Electric Vehicle Industry." Journal of Risk and Financial Management 16, no. 7 (2023): 344. http://dx.doi.org/10.3390/jrfm16070344.

Full text

Abstract:

In this paper, we mainly study the impact of the implied certainty equivalent rate on investment in financial markets. First, we derived the mathematical expression of the implied certainty equivalent rate by using put-call parity, and then we selected some company stocks and options; we considered the best-performing and worst-performing company stocks and options from the beginning of 2023 to the present for empirical research. By visualizing the relationship between the time to maturity, moneyness, and implied certainty equivalent rate of these options, we have obtained a universal conclusi

APA, Harvard, Vancouver, ISO, and other styles

11

Ogboi, Charles, Ogunwale Olurotimi, Ogunwole Joshua Olatunde, and Emordi Nwabunwnne Blessing. "Application of Linear Programming Model in Investment Portfolio and Loan Portfolio Optimization." International Journal of Economics, Business and Management Research 09, no. 05 (2025): 447–63. https://doi.org/10.51505/ijebmr.2025.9529.

Full text

Abstract:

Optimizing investment and loan portfolios is paramount for institutions aiming to maximize returns while mitigating risks. Linear programming (LP) as a mathematical optimization technique, offers a structured approach to address these challenges by determining the best allocation of limited resources under given constraints. Despite its advantages, the application of LP in financial portfolio optimization is not without challenges. The accuracy of LP models heavily relies on the precision of input data, such as expected returns, risk assessments, and correlation coefficients. Extant literature

APA, Harvard, Vancouver, ISO, and other styles

12

Eissa, Mahmoud A., and M. Elsayed. "Improve Stock Price Model-Based Stochastic Pantograph Differential Equation." Symmetry 14, no. 7 (2022): 1358. http://dx.doi.org/10.3390/sym14071358.

Full text

Abstract:

Although the concept of symmetry is widely used in many fields, it is almost not discussed in finance. This concept appears to be relevant in relation, for example, to mathematical models that can predict stock prices to contribute to the decision-making process. This work considers the stock price of European options with a new class of the non-constant delay model. The stochastic pantograph differential equation (SPDE) with a variable delay is provided in order to overcome the weaknesses of using stochastic models with constant delay. The proposed model is constructed to improve the evaluati

APA, Harvard, Vancouver, ISO, and other styles

13

Kaliuzhnyi, Volodymyr, Volodymyr Levchenko, Oleksandr Kaliuzhnyi, and Stanislav Sytnyk. "Options of crimping in a container and matrices of a special profile of axysymmetric hollow billets made of C60 steel." Mechanics and Advanced Technologies 7, no. 1 (2023): 68–74. http://dx.doi.org/10.20535/2521-1943.2023.7.1.264790.

Full text

Abstract:

Mathematical models were created using the finite element method and research was carried out on options for hot, semi-hot and cold crimping in a container and matrix of a special profile of axisymmetric hollow blanks made of high-carbon steel with variable wall thickness along the height. A plastic model of metal is used. Before hot and semi-hot crimping, the part of the workpiece was heated at the height to be deformed. The shape and dimensions of the initial blank for crimping were determined by calculation, which ensured the required dimensions of the product. The use of a container and a

APA, Harvard, Vancouver, ISO, and other styles

14

Aghabeygi, Mona, Kamel Louhichi, and Sergio Gomez y Paloma. "Impacts of fertilizer subsidy reform options in Iran: an assessment using a Regional Crop Programming model." Bio-based and Applied Economics 11, no. 1 (2022): 55–73. http://dx.doi.org/10.36253/bae-10981.

Full text

Abstract:

The aim of this paper is to assess the potential impacts of different fertilizer subsidy reform options on the performance of the Iranian crops production sector. This is achieved using a Regional Crop Programming (RCP) model, based on Positive Mathematical Programming, which includes in total 14 crop activities and encompasses 31 administrative regions. The RCP model is a collection of micro-economic models, working with exogenous prices, each representing the optimal crop allocation at the regional level. The model is calibrated against observed data on crop acreage, yield responses to nitro

APA, Harvard, Vancouver, ISO, and other styles

15

Dziatkovskii, Anton, and Uladzimir Hryneuski. "The possibilities of ensuring the security of the software product in the conditions of unauthorized access." Economic Annals-ХХI 189, no. 5-6(1) (2021): 90–100. http://dx.doi.org/10.21003/ea.v189-09.

Full text

Abstract:

Ensuring the security of a software product in the conditions of large companies, taking into account confidential financial and corporate data, is quite an urgent topic in 2021-2023. Over the past year, the number of leaks of confidential information reached a historic peak, together with cyber attacks, and amounts to 114 identified cases. In modern conditions, software security testing is aimed at identifying security errors and design flaws at all stages of the software development lifecycle. At the same time, at the design stage, this type of work should be provided in order to facilitate

APA, Harvard, Vancouver, ISO, and other styles

16

Mintah, Kwabena. "International Real Estate Review." International Real Estate Review 21, no. 4 (2018): 473–520. http://dx.doi.org/10.53383/100270.

Full text

Abstract:

Studies have demonstrated the potential of real options analysis (ROA) in property development decision-making. However, practitioners have yet to accept, adopt and integrate ROA in property development decision-making in Australia. This paper therefore investigates how Australian residential property developers manage uncertainties and risks, examines flexibility as a risk management tool, and evaluates the receptiveness and acceptance of ROA for decision making. Data are collected through face-to-face semi-structured interviews with twelve participants, and analysed by using thematic analysi

APA, Harvard, Vancouver, ISO, and other styles

17

Baustian, Falko, and Peter Takac. "Space-time analyticity of weak solutions to semilinear parabolic systems with variable coefficients." Electronic Journal of Differential Equations, Special Issue 01 (October 6, 2021): 23–89. http://dx.doi.org/10.58997/ejde.sp.01.b1.

Full text

Abstract:

We study analytic smooth solutions of a general, strongly parabolic semilinear Cauchy problem of 2m-th order in \(\mathbb{R}^N\times (0,T)\) with analytic coefficients (in space and time variables) and analytic initial data (in space variables).They are expressed in terms of holomorphic continuation of global (weak) solutions to the system valued in a suitable Besov interpolation space of \(B^{s;p,p}\)-type at every time moment \(t\in [0,T]\). Given \(0 < T'< T\leq \infty\), it is proved that any \(B^{s;p,p}\)-type solution \(u: \mathbb{R}^N\times (0,T)\to \mathbb{C}^M\) with analytic in

APA, Harvard, Vancouver, ISO, and other styles

18

Giribone, Pier Giuseppe, and Roberto Revetria. "Certificate pricing using Discrete Event Simulations and System Dynamics theory." Risk Management Magazine 16, no. 2 (2021): 75–93. http://dx.doi.org/10.47473/2020rmm0092.

Full text

Abstract:

The study proposes an innovative application of Discrete Event Simulations (DES) and System Dynamics (SD) theory to the pricing of a certain kind of certificates very popular among private investors and, more generally, in the context of wealth management. The paper shows how numerical simulation software mainly used in traditional engineering, such as industrial and mechanical engineering, can be successfully adapted to the risk analysis of structured financial products. The article can be divided into three macro-sections: in the first part a synthetic overview of the most widespread option

APA, Harvard, Vancouver, ISO, and other styles

19

Boschee, Pam. "Comments: The Stakes Grow Higher in Defining Green Energy." Journal of Petroleum Technology 74, no. 03 (2022): 8–9. http://dx.doi.org/10.2118/0322-0008-jpt.

Full text

Abstract:

Not so long ago, defining green energy was generally straightforward: renewables. It may not have been quite that simple, but the development of agreed-upon definitions based on science has become much more complex and contentious, even within the past year. It’s not just a highbrow debate about semantics. The standardization of criteria or a widely accepted taxonomy is critical as the focus increases on not only greenwashing, but on the actual processes and technologies enabling what were thought of as at least “greener” energy. The hammering out of definitions is needed to keep the energy tr

APA, Harvard, Vancouver, ISO, and other styles

20

Horoshkova, Lidiia, Ivan Karbivnychyi, and Oksana Maslova. "A programmatic approach to the infrastructure management of united territorial communities." University Economic Bulletin, no. 55 (December 29, 2022): 29–40. http://dx.doi.org/10.31470/2306-546x-2022-55-29-40.

Full text

Abstract:

Relevance in the research topic. The objective necessity and relevance to develop conceptual system principles for the reforms management in housing and community amenities as a programme is explained by the current sphere`s position. It is unprofitable, needs subsidies, and resource support having high energy consumption rate. Among national housing and community amenities` hot button problems we should admit its financial and economic management, management of the conditions and state support line, preservation and maintenance of the housing stock, energy saving, etc. The main provisions of

APA, Harvard, Vancouver, ISO, and other styles

21

Itkin, Andrey, Alexander Lipton, and Dmitry Muravey. "Multilayer heat equations: Application to finance." Frontiers of Mathematical Finance, 2021, 0. http://dx.doi.org/10.3934/fmf.2021004.

Full text

Abstract:

<p style='text-indent:20px;'>In this paper, we develop a Multilayer (ML) method for solving one-factor parabolic equations. Our approach provides a powerful alternative to the well-known finite difference and Monte Carlo methods. We discuss various advantages of this approach, which judiciously combines semi-analytical and numerical techniques and provides a fast and accurate way of finding solutions to the corresponding equations. To introduce the core of the method, we consider multilayer heat equations, known in physics for a relatively long time but never used when solving financial

APA, Harvard, Vancouver, ISO, and other styles

22

Saâdaoui, Foued. "Accelerated numerical solutions for discretized black-scholes equations." IMA Journal of Management Mathematics, April 2, 2024. http://dx.doi.org/10.1093/imaman/dpae006.

Full text

Abstract:

Abstract This study thoroughly investigates the efficiency of advanced numerical extrapolation methods aimed at enhancing the convergence of vector sequences in the realm of mathematical finance. Our focus lies in the application of polynomial extrapolation techniques to calculate finite difference solutions for the Black-Scholes (BS) equation–an indispensable model in options pricing. The performance of our algorithms undergoes rigorous evaluation through a comprehensive analysis involving both simulated and real-world data. Notably, our experiments uncover that a stochastic scheme, incorpora

APA, Harvard, Vancouver, ISO, and other styles

23

LIU, QI, ALAA OMAR KHADIDOS, and PENGBO WAN. "DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD." Fractals 30, no. 02 (2022). http://dx.doi.org/10.1142/s0218348x22400692.

Full text

Abstract:

The purposes of this paper are to improve the scientific processing level of risk management in the financial field, enrich the application range of mathematical models in financial calculations, and comprehensively discuss the theories and concepts of mathematical finance and stochastic differential equations. More importantly, the common option pricing issues in financial risk management have been researched using the forward–backward stochastic differential equation. The fully discrete and uncoupled forward–backward stochastic differential equation is employed to analyze the spread option a

APA, Harvard, Vancouver, ISO, and other styles

24

Powell. "Option Valuation Using Finite Difference Methods." August 14, 2023. https://doi.org/10.5281/zenodo.8247872.

Full text

Abstract:

The finite difference method is a mathematical construct that can be used to solve partial differential equations. In this study, we used the finite difference method to solve the Black-Scholes-Merton partial differential equation to calculate options prices. Three methods were used: the Implicit Method, the Explicit Method, and the Crank-Nicolson Method. Using some code and the help of MATLAB I was able to calculate for each of the three methods listed above the values of both call and put options using the Black-Scholes-Merton partial differential equation. Furthermore, the Binomial Cox-Ross

APA, Harvard, Vancouver, ISO, and other styles

25

Çetinkaya, Reşit, and Ertuğrul Çavdar. "A Comparative Perspective on Fee Policies Used in OECD Countries for Financing Higher Education." Sosyal Bilimler ve Eğitim Dergisi, May 29, 2024. http://dx.doi.org/10.53047/josse.1484858.

Full text

Abstract:

One of the biggest problems faced by countries globally is the financing of higher education. Especially in the face of increasing demand for higher education and limited public resources, countries are in need of reform in terms of financing higher education. In recent years, there has been a global trend towards the adoption of higher education financing strategies that focus on cost sharing. The purpose of this study is to examine the higher education financing policies of countries with different systems compared to Turkey, to address the financial challenges in Turkish higher education fi

APA, Harvard, Vancouver, ISO, and other styles

26

"Preface." Journal of Physics: Conference Series 2251, no. 1 (2022): 011001. http://dx.doi.org/10.1088/1742-6596/2251/1/011001.

Full text

Abstract:

Proceedings of the Second International Conference on Robotics and Artificial Intelligence Editors of the Proceedings Dr.G. Geetha, Advanced Computing Research Society, Chennai, India geetha@advancedcomputingresearchsociety.org Dr. Vincenzo Piuri, University of Milan, Italy vincenzo.piuri@unimi.it Dr. Debao Zhou, University of Minnesota Duluth, USA dzhou@d.umn.edu Preface We are honoured and glad to welcome you at the Second International Conference on Robotics and Artificial Intelligence 2021 organized by Advanced Computing Research Society on 29th and 30th November 2021. Initially, this conf

APA, Harvard, Vancouver, ISO, and other styles

27

Gulliver, Robyn. "The Fossil Fuel Façade." M/C Journal 27, no. 6 (2024). http://dx.doi.org/10.5204/mcj.3120.

Full text

Abstract:

Introduction Our era of urgent climate action is underpinned by a perplexing paradox: a continued reliance on fossil fuels is presented as a solution to the very crisis it perpetuates. We live in a world where this logical inconsistency is normalised and accepted; an artificial fantasy realm where we can have our fossil fuel cake and eat it as well. In this realm, society, business, and government acknowledge the reality of climate change and its cause, yet do little to alleviate it. Instead, they express bi-partisan support for zero emissions targets while expanding fossil fuel projects, and

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!