Log in

Relevant bibliographies by topics / Marked point proce

Contents

Journal articles

Academic literature on the topic 'Marked point proce'

Author: Grafiati

Published: 11 March 2023

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Marked point proce.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Marked point proce"

1

Siu, Tak Kuen. "A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk." International Journal of Stochastic Analysis 2010 (December 5, 2010): 1–18. http://dx.doi.org/10.1155/2010/870516.

Full text

Abstract:

We investigate a Markov, regime-switching, marked point process for the short-term interest rate in a market. The intensity of the marked point process is a bounded, predictable process and is modulated by two observable factors. One is an economic factor described by a diffusion process, and another one is described by a Markov chain. The states of the chain are interpreted as different rating categories of corporate credit ratings issued by rating agencies. We consider a general pricing kernel which can explicitly price economic, market, and credit risks. It is shown that the price of a pure

APA, Harvard, Vancouver, ISO, and other styles

2

Tardelli, Paola. "UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION." Probability in the Engineering and Informational Sciences 25, no. 1 (2010): 29–54. http://dx.doi.org/10.1017/s0269964810000239.

Full text

Abstract:

This article considers the asset price movements in a financial market when risky asset prices are modeled by marked point processes. Their dynamics depend on an underlying event arrivals process—a marked point process having common jump times with the risky asset price process. The problem of utility maximization of terminal wealth is dealt with when the underlying event arrivals process is assumed to be unobserved by the market agents using, as the main tool, backward stochastic differential equations. The dual problem is studied. Explicit solutions in a particular case are given.

APA, Harvard, Vancouver, ISO, and other styles

3

Gerardi, Anna, and Paola Tardelli. "RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS." Probability in the Engineering and Informational Sciences 24, no. 1 (2009): 47–76. http://dx.doi.org/10.1017/s0269964809990131.

Full text

Abstract:

This article considers the asset price movements in a financial market when risky asset prices are modeled by marked point processes. Their dynamics depend on an underlying event arrivals process, modeled again by a marked point process. Taking into account the presence of catastrophic events, the possibility of common jump times between the risky asset price process and the arrivals process is allowed. By setting and solving a suitable control problem, the characterization of the minimal entropy martingale measure is obtained. In a particular case, a pricing problem is also discussed.

APA, Harvard, Vancouver, ISO, and other styles

4

Tardelli, P. "Partially informed investors: hedging in an incomplete market with default." Journal of Applied Probability 52, no. 3 (2015): 718–35. http://dx.doi.org/10.1239/jap/1445543842.

Full text

Abstract:

In a defaultable market, an investor trades having only partial information about the behavior of the market. Taking into account the intraday stock movements, the risky asset prices are modelled by marked point processes. Their dynamics depend on an unobservable process, representing the amount of news reaching the market. This is a marked point process, which may have common jump times with the risky asset price processes. The problem of hedging a defaultable claim is studied. In order to discuss all these topics, in this paper we examine stochastic control problems using backward stochastic

APA, Harvard, Vancouver, ISO, and other styles

5

Tardelli, P. "Partially informed investors: hedging in an incomplete market with default." Journal of Applied Probability 52, no. 03 (2015): 718–35. http://dx.doi.org/10.1017/s0021900200113397.

Full text

Abstract:

In a defaultable market, an investor trades having only partial information about the behavior of the market. Taking into account the intraday stock movements, the risky asset prices are modelled by marked point processes. Their dynamics depend on an unobservable process, representing the amount of news reaching the market. This is a marked point process, which may have common jump times with the risky asset price processes. The problem of hedging a defaultable claim is studied. In order to discuss all these topics, in this paper we examine stochastic control problems using backward stochastic

APA, Harvard, Vancouver, ISO, and other styles

6

Agnihotri, Shalini, and Kanishk Chauhan. "Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market." Investment Management and Financial Innovations 19, no. 3 (2022): 1–12. http://dx.doi.org/10.21511/imfi.19(3).2022.01.

Full text

Abstract:

Investment in commodity markets in India accelerated after 2007; this was accompanied by large price variability, hence, it becomes imperative to measure commodity price risk precisely. It becomes equally important to study the relationship between commodity price variability and the stock market. Hence, this study aims to calculate the tail risk of highly traded Indian commodity futures returns using the conditional EVT-VaR method for risk measurement. Secondly, the linkage between commodity markets and the stock market is also studied using the Delta CoVaR method. Results highlight the follo

APA, Harvard, Vancouver, ISO, and other styles

7

Wu, Chunyan, Li Yang, Zai Luo, and Wensong Jiang. "Linear Laser Scanning Measurement Method Tracking by a Binocular Vision." Sensors 22, no. 9 (2022): 3572. http://dx.doi.org/10.3390/s22093572.

Full text

Abstract:

The 3D scanning of a freeform structure relies on the laser probe and the localization system. The localization system, determining the effect of the point cloud reconstruction, will generate positioning errors when the laser probe works in complex paths with a fast speed. To reduce the errors, in this paper, a linear laser scanning measurement method is proposed based on binocular vision calibration. A simple and effective eight-point positioning marker attached to the scanner is proposed to complete the positioning and tracking procedure. Based on this, the method of marked point detection b

APA, Harvard, Vancouver, ISO, and other styles

8

Riley, Christopher, Barbara Summers, and Darren Duxbury. "Capital Gains Overhang with a Dynamic Reference Point." Management Science 66, no. 10 (2020): 4726–45. http://dx.doi.org/10.1287/mnsc.2019.3404.

Full text

Abstract:

Financial models incorporating a reference point, such as the Capital Gains Overhang (CGO) model, typically assume it is fixed at the purchase price. Combining experimental and market data, this paper examines whether such models can be improved by incorporating reference-point adjustment. Using real stock prices over horizons from 6 months to 5 years, experimental evidence demonstrates that a number of salient points in the prior share price path are key determinants of the reference point, in addition to the purchase price. Market data testing is then undertaken by using the CGO model. We sh

APA, Harvard, Vancouver, ISO, and other styles

9

Kumar Inani, Sarveshwar, Harsh Pradhan, R. Prasanth Kumar, and Ajay Kumar Singal. "Do daily price extremes influence short-term investment decisions? Evidence from the Indian equity market." Investment Management and Financial Innovations 19, no. 4 (2022): 122–31. http://dx.doi.org/10.21511/imfi.19(4).2022.10.

Full text

Abstract:

For short-term investments in equity markets, investors use price points, candlestick patterns, moving averages, support and resistance levels, trendlines, price patterns, relative strength index, and moving average convergence-divergence as reference(s) for making decisions. This study investigates whether investors use daily price extremes (highest and lowest prices for the day) for making short-term investments or trading decisions in the context of the Indian equity market. Using 6,902 observations of daily data of the NIFTY 50 index since its launch, it is observed that daily price extrem

APA, Harvard, Vancouver, ISO, and other styles

10

Iwayama, Koji, Yoshito Hirata, and Kazuyuki Aihara. "Nonlinear time series analysis of marked point process data." IEICE Proceeding Series 2 (March 17, 2014): 189–92. http://dx.doi.org/10.15248/proc.2.189.

Full text

APA, Harvard, Vancouver, ISO, and other styles

More sources

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!