全部文献期刊学位论文会议报纸专利标准年鉴图书|学者科研项目
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作者:Sebastian Jaimungal , Yuri Lawryshyn
来源:[J].Annals of Operations Research(IF 1.029), 2017, Vol.259 (1-2), pp.173-190Springer
摘要:Real options analysis is widely recognized as a superior method for valuing projects with managerial flexibilities. Yet, its adoption remains limited due to varied difficulties in its implementation. In this work, a real options approach that utilizes managerial cash-flow es...
作者:Sebastian Jaimungal , Yuxiang Chong
来源:[J].Quantitative Finance(IF 0.824), 2014, Vol.14 (2), pp.259-270Taylor & Francis
摘要:The role that clustering in activity and/or severity plays in catastrophe modeling and derivative valuation is a key aspect that has been overlooked in the recent literature. Here, we propose two marked point processes to account for these features. The first approach assume...
作者:Álvaro Cartea , Sebastian Jaimungal
来源:[J].Quantitative Finance(IF 0.824), 2015, Vol.15 (8), pp.1279-1291Taylor & Francis
摘要:We develop an optimal execution policy for an investor seeking to execute a large order using limit and market orders. The investor solves the optimal policy considering different restrictions on volume of both types of orders and depth at which limit orders are posted. We s...
作者:Ryan Donnelly , Sebastian Jaimungal , Dmitri H. Rubisov
来源:[J].Quantitative Finance(IF 0.824), 2014, Vol.14 (2), pp.369-382Taylor & Francis
摘要:Guaranteed withdrawal benefits are long term contracts which provide investors with equity participation while guaranteeing them a secured income stream. Due to the long investment horizons involved, stochastic volatility and stochastic interest rates are important factors to inc...
作者:Yuri Lawryshyn , Sebastian Jaimungal
来源:[J].Civil Engineering and Environmental Systems(IF 0.477), 2014, Vol.31 (3), pp.243-259Taylor & Francis
摘要:In the design of a wastewater treatment plant, engineers must estimate the future population that the plant will need to serve. When the population growth is uncertain, modular design can reduce up-front capital costs, operating costs and total expected present value costs. Model...
作者:Claudio Albanese , Sebastian Jaimungal , Dmitri H. Rubisov
来源:[J].Quantitative Finance(IF 0.824), 2003, Vol.3 (2), pp.145-154Taylor & Francis
摘要:We introduce a pricing model for equity options in which sample paths follow a variance-gamma (VG) jump model whose parameters evolve according to a two-state Markov chain process. As in GARCH type models, jump sizes are positively correlated to volatility. The model is capable o...
作者:Claudio Albanese , Sebastian Jaimungal , Dmitri H Rubisov
来源:[J].Quantitative Finance(IF 0.824), 2003, Vol.3 (2), pp.145-154Taylor & Francis
摘要:Abstract(#br)We introduce a pricing model for equity options in which sample paths follow a variance-gamma (VG) jump model whose parameters evolve according to a two-state Markov chain process. As in GARCH type models, jump sizes are positively correlated to volatility. The model...
作者:Sebastian Jaimungal
来源:[J].Physics Letters B(IF 4.569), 1998, Vol.441 (1), pp.147-154Elsevier
摘要:Abstract(#br)It is shown that when the underlying sigma model of bosonic string theory is written in terms of single-valued fields, which live in the covering space of the target space, Abelian T -duality survives lattice regularization of the world-sheet. The projection onto the...
作者:Sebastian Jaimungal , Virginia R. Young
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2005, Vol.36 (3), pp.329-346Elsevier
摘要:Abstract(#br)We investigate the pricing problem for pure endowment contracts whose life contingent payment is linked to the performance of a tradable risky asset or index. The heavy tailed nature of asset return distributions is incorporated into the problem by modeling the ...
作者:Sebastian Jaimungal , Tao Wang
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2005, Vol.38 (3), pp.469-483Elsevier
摘要:Abstract(#br)We analyze the pricing and hedging of catastrophe put options under stochastic interest rates with losses generated by a compound Poisson process. Asset prices are modeled through a jump-diffusion process which is correlated to the loss process. We obtain explic...

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