Journal of the Korean Society for Industrial and Applied Mathematics

  • 제14권4호
  • /
  • Pages.211-224
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  • 2010
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  • 1226-9433(pISSN)
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  • 1229-0645(eISSN)
한국산업응용수학회 (Korean Society for Industrial and Applied Mathematics)
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MULTI-TYPE FINANCIAL ASSET MODELS FOR PORTFOLIO CONSTRUCTION

  • Oh, Jae-Pill (DEPARTMENT OF MATHEMATICS, KANGWEON NATIONAL UNIVERSITY)
  • 투고 : 2010.07.07
  • 심사 : 2010.09.04
  • 발행 : 2010.12.25
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초록

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.

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참고문헌

  1. Yacine Ait-Sahalia, Disentangling diffusion from jumps, Journal of Financial Economics 74, pp487-528, 2004 https://doi.org/10.1016/j.jfineco.2003.09.005
  2. Tobian Adrian, Joshua Rosenberg, Stock returns and volatility: Pricing the short-run and rong-run components of market risk, November 2005
  3. Peter Christoffersen, Kris Jacobs, YintianWang, Option valuation with long-run and short-run volatility components, July 2005
  4. Lawrence C. Evans, An Introduction to Stochastic Differential Equations Version 1.2, Department of Mathematics UC Berkeley, in internet
  5. V. Hallulli, T. Vargiolu, Financial models with dependence on the past: A Survey, January, 2005
  6. Stefano Herzel, Option pricing with stochastic volatility models, Decisions in Economics and Finance, Vol 23, pp75-99, 2000 https://doi.org/10.1007/s102030070001
  7. J. Kelley, J. Oh, Asset model invested by short-sampling intervals, J. KSIAM 9, pp31-53, 2005
  8. Damien Lamberton, Bernard Lapeyre, Introduction to Stochastic Calculus Applied to Finance, Tr. by Nicolas Rabeau, Francois Mantion, Chapman & Hall, 1996
  9. Philip Protter, Stochastic Integration and Differential Equations, Berlin Heidelberg N.Y., Springer, 3rd Printing, 1995
  10. Philip Protter, A partial introduction to financial asset pricing theory, Stochastic Processes and their Applications Vol. 91 pp169-203, 2001 https://doi.org/10.1016/S0304-4149(00)00064-8
  11. Ser-Huang Poon, Clive Granger; Forecasting volatility in financial markets: a review, SSRN Electronic Library (2002)
  12. www.kosis.kr, Korean Statistical Information Service

피인용 문헌

  1. OPTIMAL PORTFOLIO FOR MULTI-TYPE ASSET MODELS USING FILTERED VARIOUS INFORMATION vol.15, pp.4, 2010, https://doi.org/10.12941/jksiam.2011.15.4.277
  2. FINANCIAL MODELS INDUCED FROM AUXILIARY INDICES AND TWITTER DATA vol.22, pp.3, 2010, https://doi.org/10.11568/kjm.2014.22.3.529