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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.14 No.4
- 발행연도
- 2010.12
- 수록면
- 211 - 224 (14page)
이용수
초록· 키워드
오류제보하기
We define some asset models which are useful for portfolio construction in various terms of time. Our asset models are geometric jump-diffusions defined by the solutions of stochastic differential equations which are decomposed by various terms of time basically. We also can study pricing and hedging strategy of options in our models roughly.
목차
ABSTRACT
1. INTRODUCTION
2. DATA ANALYSIS AND ASSET MODELS
3. SIMULATED EXAMPLES FOR BEST PORTFOLIO
4. SUMMARY
REFERENCES
참고문헌 (12)
참고문헌 신청
1. [학술지(정기간행물)] - Yacine Ait-Sahalia / 2004 / Disentangling diffusion from jumps / Journal of Financial Economics 74 : 487 ~ 528
2. [단행본] - Tobian Adrian / 2005 / Stock returns and volatility: Pricing the short-run and rong-run components of market risk
3. [단행본] - Peter Christoffersen / 2005 / Option valuation with long-run and short-run volatility components
4. [기타자료] - Lawrence C. Evans / / An Introduction to Stochastic Differential Equations Version 1.2, Department of Mathematics UC Berkeley, in internet
5. [단행본] - V. Hallulli / 2005 / Financial models with dependence on the past: A Survey
2. [단행본] - Tobian Adrian / 2005 / Stock returns and volatility: Pricing the short-run and rong-run components of market risk
3. [단행본] - Peter Christoffersen / 2005 / Option valuation with long-run and short-run volatility components
4. [기타자료] - Lawrence C. Evans / / An Introduction to Stochastic Differential Equations Version 1.2, Department of Mathematics UC Berkeley, in internet
5. [단행본] - V. Hallulli / 2005 / Financial models with dependence on the past: A Survey
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UCI(KEPA) : I410-ECN-0101-2012-410-003837182