Главная

Priyanka A. Parbhoo

  1. Randomised Mixture Models for Pricing Kernels.

    Пнд, 12/12/2011 - 15:01 — SomNambul
    Authors: Andrea Macrina, Priyanka A. Parbhoo
    Subjects: General Finance
    Abstract

    Numerous kinds of uncertainties may affect an economy, e.g. economic,
    political, and environmental ones. We model the aggregate impact by the
    uncertainties on an economy and its associated financial market by randomised
    mixtures of L\'evy processes. We assume that market participants observe the
    randomised mixtures only through best estimates based on noisy market
    information. The concept of incomplete information introduces an element of
    stochastic filtering theory in constructing what we term "filtered Esscher
    martingales".

  2. Security Pricing with Information-Sensitive Discounting.

    Пт, 06/04/2010 - 15:02 — SomNambul
    Authors: Andrea Macrina, Priyanka A. Parbhoo
    Subjects: Pricing of Securities
    Abstract

    In this paper incomplete-information models are developed for the pricing of
    securities in a stochastic interest rate setting. In particular we consider
    credit-risky assets that may include random recovery upon default. The market
    filtration is generated by a collection of information processes associated
    with economic factors, on which interest rates depend, and information
    processes associated with market factors used to model the cash flows of the
    securities. We use information-sensitive pricing kernels to give rise to
    stochastic interest rates.

Math-arch

RSS-материал