Literatura académica sobre el tema "Leland strategy"
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Artículos de revistas sobre el tema "Leland strategy"
Palmowski, Zbigniew, José Luis Pérez, Budhi Arta Surya y Kazutoshi Yamazaki. "The Leland–Toft optimal capital structure model under Poisson observations". Finance and Stochastics 24, n.º 4 (17 de julio de 2020): 1035–82. http://dx.doi.org/10.1007/s00780-020-00431-6.
Texto completoDenis, Emmanuel y Yuri Kabanov. "Mean square error for the Leland–Lott hedging strategy: convex pay-offs". Finance and Stochastics 14, n.º 4 (21 de julio de 2010): 625–67. http://dx.doi.org/10.1007/s00780-010-0130-z.
Texto completoSURYA, BUDHI ARTA y KAZUTOSHI YAMAZAKI. "OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS". International Journal of Theoretical and Applied Finance 17, n.º 02 (marzo de 2014): 1450013. http://dx.doi.org/10.1142/s0219024914500137.
Texto completoVanden, Joel M. "Asset Substitution and Structured Financing". Journal of Financial and Quantitative Analysis 44, n.º 4 (agosto de 2009): 911–51. http://dx.doi.org/10.1017/s0022109009990226.
Texto completoRosenau, M. "ISO 9001: The standard companion by Leland R. Beaumont. Middleton, NJ: ISO Easy, 1993. 26 pages. $17.95". Journal of Product Innovation Management 12, n.º 2 (marzo de 1995): 181. http://dx.doi.org/10.1016/0737-6782(95)90020-9.
Texto completotik, Ota. "On Programme Proposals for Social Democratic Parties. A Reply to Leland G. Stauber". Economic and Industrial Democracy 11, n.º 1 (febrero de 1990): 147–52. http://dx.doi.org/10.1177/0143831x90111009.
Texto completoNguyen, Richard P. y S. J. K. Rao. "Discussion of “Educating Construction Managers” by Leland S. Riggs (June, 1988, Vol. 114, No. 2)". Journal of Construction Engineering and Management 115, n.º 4 (diciembre de 1989): 638–40. http://dx.doi.org/10.1061/(asce)0733-9364(1989)115:4(638).
Texto completoRiggs, Leland S. "Closure to “ Educating Construction Managers ” by Leland S. Riggs (June, 1988, Vol. 114, No. 2)". Journal of Construction Engineering and Management 115, n.º 4 (diciembre de 1989): 640–42. http://dx.doi.org/10.1061/(asce)0733-9364(1989)115:4(640).
Texto completoKersten, Holger. "The Creative Potential of Dialect Writing in Later-Nineteenth-Century America". Nineteenth-Century Literature 55, n.º 1 (1 de junio de 2000): 92–117. http://dx.doi.org/10.2307/2903058.
Texto completoMarbun, Firdaus. "LELANG LEBUNG: EKSPANSI KEKUASAAN, KESADARAN EKOLOGIS DAN STRATEGI EKONOMI". Patanjala : Jurnal Penelitian Sejarah dan Budaya 10, n.º 3 (8 de noviembre de 2018): 369. http://dx.doi.org/10.30959/patanjala.v10i3.388.
Texto completoTesis sobre el tema "Leland strategy"
Cai, Jiatu. "Méthodes asymptotiques en contrôle stochastique et applications à la finance". Sorbonne Paris Cité, 2016. http://www.theses.fr/2016USPCC338.
Texto completoIn this thesis, we study several mathematical finance problems related to the presence of market imperfections. Our main approach for solving them is to establish a relevant asymptotic framework in which explicit approximate solutions can be obtained for the associated control problems. In the first part of this thesis, we are interested in the pricing and hedging of European options. We first consider the question of determining the optimal rebalancing dates for a replicating portfolio in the presence of a drift in the underlying dynamics. We show that in this situation, it is possible to generate positive returns while hedging the option and describe a rebalancing strategy which is asymptotically optimal for a mean-variance type criterion. Then we propose an asymptotic framework for options risk management under proportional transaction costs. Inspired by Leland’s approach, we develop an alternative way to build hedging portfolios enabling us to minimize hedging errors. The second part of this manuscript is devoted to the issue of tracking a stochastic target. The agent aims at staying close to the target while minimizing tracking efforts. In a small costs asymptotics, we establish a lower bound for the value function associated to this optimization problem. This bound is interpreted in term of ergodic control of Brownian motion. We also provide numerous examples for which the lower bound is explicit and attained by a strategy that we describe. In the last part of this thesis, we focus on the problem of consumption-investment with capital gains taxes. We first obtain an asymptotic expansion for the associated value function that we interpret in a probabilistic way. Then, in the case of a market with regime-switching and for an investor with recursive utility of Epstein-Zin type, we solve the problem explicitly by providing a closed-form consumption-investment strategy. Finally, we study the joint impact of transaction costs and capital gains taxes. We provide a system of corrector equations which enables us to unify the results in [ST13] and [CD13]
Libros sobre el tema "Leland strategy"
Anuar, Abdul Rahim y Zulikha Jamaludin. Ekonomi Internet konsep, dampak, pengukuran & strategi pengurusan. UUM Press, 2009. http://dx.doi.org/10.32890/9789685311390.
Texto completoCapítulos de libros sobre el tema "Leland strategy"
Darses, Sébastien y Emmanuel Lépinette. "Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient". En Inspired by Finance, 159–99. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-02069-3_8.
Texto completoActas de conferencias sobre el tema "Leland strategy"
Gamys, Moussa y Yuri Kabanov. "Mean Square Error for the Leland–Lott Hedging Strategy". En Proceedings of the 2008 Daiwa International Workshop on Financial Engineering. WORLD SCIENTIFIC, 2009. http://dx.doi.org/10.1142/9789814273473_0001.
Texto completoWu, Shuo. "A numerical study on Leland's strategy". En International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2021), editado por Ke Chen, Nan Lin, Romeo Meštrović, Teresa A. Oliveira, Fengjie Cen y Hong-Ming Yin. SPIE, 2022. http://dx.doi.org/10.1117/12.2627641.
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