 ترتیب محصولات: پیش فرض
 نمایش 15 محصول در هر صفحه

A new method for solving of a backward stochastic differential equations by using a basic functions
0 تومانIn 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 stated by using the basic functions based on the block pulse functions. Finally, we show the method has a good degree of accuracy by using some examples.

A numerical method for portfolio selection based on Markov chain approximation
0 تومانIn this paper, A portfolio selection problem is approximated by a Markov chain which is modulated by a continuoustime, finitestate, Markov chain. The main ingredient of the Markov chain approximation is to approximate the wealth process and utility function of original utility optimization problem by a controlled Markov chain. under the convergence of the approximation scheme, Policy iteration methods as to obtain the optimal controls. A numerical example is provided to illustrate the reability of the algorithm.

A Survey on exact analytical and numerical solutions of some S.D.E.s based on martingale approach and changing variable method
0 تومانIn 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 just with stochastic part (drift free). This method could be done by Ito product formula on initial process and an appropriate martingale process, then we compare simulating method of arising this new equation with other simulating method like as E.M. and Milstein. Another suitable method is converting S.D.E.s to O.D.E.s whom we try to omit diffusion part of stochastic equation. Afterwards, it could be solved by different numerical methods like as Rungekutta from fourth order. In this paper, we solve well known equations such as Gampertz diffusion and logistic diffusion by this method. Another powerful one is change of variable method whom we could analysis and survey a well known group of stochastic equations like as special case of squared radial Langevin process, CoxIngersollRoss model and OrnsteinUhlenbeck process. For numerical solution of these stochastic equations, we could apply wiener chaos expansion method whom we have described in other paper.

An approximate method to option pricing in the Heston model
0 تومانThe 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 nonlognormal distribution of the assets returns, leverage effect and the important meanreverting property of volatility. In addition, it has a semiclosed form solution for European options. In this paper by means of classical Itˆ o calculus, we decompose option prices as the sum of the classical BlackScholes formula.This decomposition allows us to develop first and secondorder approximation formulas for option prices and implied volatilities in the Heston volatility framework, as well as to study their accuracy for short maturities. Moreover, we show that the corresponding approximations for the implied volatility are linear(firstorder approximation) and quadratic(secondorder approximation) in the log stock price.

An Efficient Numerical Approximation of the American Option Pricing Problem
0 تومانThis 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 finite difference method is applied. The research has also taken advantage of the numerical approximation of the free boundary near expiry. Comparing the results coming from this method with those of the former methods, this research has been able to increase the accuracy of the commonly used methods.

An introduction to descriptive statistics: A review and practical guide
0 تومانThis paper, the first of two, demonstrates why it is necessary for radiographers to understand basic statistical concepts both to assimilate the work of others and also in their own research work. As the emphasis on evidencebased practice increases, it will become more pressing for radiographers to be able to dissect other people’s research and to contribute to research themselves. The different types of data that one can come across are covered here, as well as different ways to describe data. Furthermore, the statistical terminology and methods used that comprise descriptive statistics are explained, including levels of measurement, measures of central tendency (average), and dispersion (spread) and the concept of normal distribution. This paper reviews relevant literature, provides a checklist of points to consider before progressing with the application of appropriate statistical methods to a data set, and provides a glossary of relevant terms for reference.

An introduction to inferential statistics: A review and practical guide
0 تومانBuilding on the first part of this series regarding descriptive statistics, this paper demonstrates why it is advantageous for radiographers to understand the role of inferential statistics in deducing conclusions from a sample and their application to a wider population. This is necessary so radiographers can understand the work of others, can undertake their own research and evidence base their practice. This article explains p values and confidence intervals. It introduces the common statistical tests that comprise inferential statistics, and explains the use of parametric and nonparametric statistics. To do this, the paper reviews relevant literature, and provides a checklist of points to consider before and after applying statistical tests to a data set. The paper provides a glossary of relevant terms and the reader is advised to refer to this when any unfamiliar terms are used in the text. Together with the information provided on descriptive statistics in an earlier article, it can be used as a starting point for applying statistics in radiography practice and research.

An Introduction to Variable and Feature Selection
0 تومانVariable 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, and combinatorial chemistry. The objective of variable selection is threefold: improving the prediction performance of the predictors, providing faster and more costeffective predictors, and providing a better understanding of the underlying process that generated the data. The contributions of this special issue cover a wide range of aspects of such problems: providing a better definition of the objective function, feature construction, feature ranking, multivariate feature selection, efficient search methods, and feature validity assessment methods.

Application of Stochastic Differential Games for Optimal Investment Strategy Selection
0 تومانIn 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 and inventions are modeled by systems of differential equations. Different games are associated with optimal control problems. In an optimal control problem, there is a unit control u (t), and a single criterion for optimization; the differential game theory divides this into two controls u (t), v (t) and two criteria, one for each player. To give Each player tries to control the status of the system to achieve its goal. The system responds to the input of both players. In this paper, a random differential equation is an approach to an optimal riskbased investment problem from an insurer. A continuous simple economy with two investment vehicles, fixed costs and a share, is considered. The insurer risk process by an emission distribution to combine the Poisson risk process. The purpose of the insurer is to select an optimal test case to minimize the risk described by measuring the convex risk of its terminal wealth. The optimal investment problem is then implemented as a zerocontrast differential between the insurer and the market.

Application of SVR with Genetic optimization algorithm in urban traffic flow forecasting
0 تومانForecasting of interurban 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 to improve the forecasting accuracy. This investigation presents a shortterm traffic forecasting model which combines the support vector regression (SVR) model with Genetic Optimization algorithms (SVRGA) to forecast interurban traffic flow. Additionally, a numerical example is employed to elucidate the forecasting performance of the proposed SVRGA model. Finally the results compare and their performance with time series models.

Application of Wavelet method in denoising option prices
0 تومانIn so much financial time series are known to carry noise, elimination of noise is necessary. Due to multiscaling property, the wavelet method is very efficient in dealing with noisy data series. In specific, we propose to use the wavelet method to denoise option prices before estimating the optionimplied risk neutral density (RND) and forecasting future option prices. We use of two RNDs estimated from the perturbed prices and the filtered prices to forecast the outofsample options, respectively. Moreover, we compare them with the true BlackScholes option prices. Results of this study show that, through the use of Monte Carlo simulations, the power of the wavelet method in the denoising of option price data. It is clearly seen that, by denoising the perturbed option prices using the wavelet method, most of the noise is removed and the wavelet denoising method is robust to different levels of noise variance.

Confidence interval estimation of option prices by using the predicted distribution of implied volatility
0 تومانMany option pricing formulas have been developed to overcome the restrictive assumptions of Black and Scholes models and to give more accurate prices. Most of the methods are focused on a point prediction of option price. In this paper, we propose a method that predicts a distribution of the implied volatility functions by applying a Gaussian process regression and estimating confidence intervals of option prices using the predicted volatility distributions. To verify the performance of the proposed method, we conducted simulations on some modelgenerated option prices dataand real option market data. The simulation results show that the proposed method performs well with practically meaningful option ranges as well as overcomes the problem of containing negative prices in their predicted confidence intervals by the previous works.

European Option Pricing with Transaction Costs
0 تومانThis paper deals with the construction of a finite difference scheme for a nonlinear BlackScholes partial differential equation modelling stock option pricing in the realistic case when transaction costs arising in the hedging of portfolios are taken into account. The analysed model is the BarlesSoner one.

Evaluation of Two Popular Models of Volatility on Financial Time Series
0 تومانIn this paper, we evaluate and compare two classes of varying volatility model, GARCH and stochastic volatility (SV) models on financial time series. In this case, a closed form estimator for a stochastic volatility model and also its asymptotic properties are considered. Akaike information criterion (AIC) was used to test the adequacy of the models.