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A new method for solving of a backward stochastic differential equations by using a basic functions

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In this paper, we purpose a method for numerical solution of a backward stochastic differential equations driven by standard Brownian motion  as follows: { dX X(T (s) = ) =p. f(X(s))ds + g(X(s))dB(s), s ∈ [0, T), The method is...

A numerical method for portfolio selection based on Markov chain approximation

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In this paper, A portfolio selection problem is approximated by a Markov chain which is modulated by a continuous-time, finite-state, Markov chain. The main ingredient of the Markov chain approximation is to approximate the wealth process and utility function of...

A Survey on exact analytical and numerical solutions of some S.D.E.s based on martingale approach and changing variable method

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In this paper, we decide to represent analytical and numerical solutions for stochastic differential equations, specially reputed and famous  equations in pricing and investment rate odels. By making martingale process from an arbitrary process in L2(R) space, we infer equations...

American Options Pricing by Using Stochastic Optimal Control Problems

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Stochastic optimal control problems frequently occur in Economics and Finance. Dynamic programming method represents the most known method for solving optimal control problems analytically. As analytical solutions for problems of optimal control are not always available, finding an approximate solution...

An approximate method to option pricing in the Heston model

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The Heston model is one of the most popular stochastic volatility models for derivatives pricing, and it is a mathematical model describing the evolution of the volatility of an underlying asset. The model proposed by Heston(1993), takes into account non-lognormal...

An Efficient Numerical Approximation of the American Option Pricing Problem

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This paper deals with developing an efficient numerical approximation of the American option pricing problem as a free boundary problem. The recently introduced artificial boundary conditions of Han and Wu  are also employed. In order to solve the problem, a...

An Introduction to Variable and Feature Selection

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An Introduction to Variable and Feature Selection

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Variable and feature selection have become the focus of much research in areas of application for which datasets with tens or hundreds of thousands of variables are available. These areas include text processing of internet documents, gene expression array analysis,...

Application of Stochastic Differential Games for Optimal Investment Strategy Selection

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In game theory, distinct games are a group of problems related to modeling and conflict analysis in the context of a dynamic system. This problem usually involves two actors, one pursuer, and an escape from conflicting goals. The pursuit dynamics...

Application of SVR with Genetic optimization algorithm in urban traffic flow forecasting

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Forecasting of inter-urban traffic flow has been one of the most important issues globally in the research on road traffic congestion. Due to traffic flow forecasting involves a rather complex nonlinear data pattern; there are lots of novel forecasting approaches...
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