Journal of the Korean Society for Industrial and Applied Mathematics

Korean Society for Industrial and Applied Mathematics (한국산업응용수학회)
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MULTI-TYPE FINANCIAL ASSET MODELS FOR PORTFOLIO CONSTRUCTION

  • Oh, Jae-Pill (DEPARTMENT OF MATHEMATICS, KANGWEON NATIONAL UNIVERSITY)
  • Received : 2010.07.07
  • Accepted : 2010.09.04
  • Published : 2010.12.25
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Abstract

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.

Keywords

References

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Cited by

  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