4 articles for “Stochastic Interest Rate”

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Research ArticleOpen accessEvery word in the titleA JUMP-DIFFUSION WITH STOCHASTIC VOLATILITY AND INTEREST RATEPairote Sattayatham, Paiboon PeeraparpIn this study, we present the application of Time Changed Levy method to model a jump-diffusion process with stochastic volatility and stochastic interest rate. We apply the Lewis Fourier transform method as well as the risk neutral expectation pricing method to derive a formula for a European option pricing. These combining methods give quite a short route to derive the … …Journal of Mathematics and Statistics, Vol. 9, Issue 1 · 27 Mar 2013 · 6,888 accessesView PDF Cite

Research ArticleOpen accessIn the abstractStock Return, Growth and Inflation in India: Analysis of Stochastic Seasonality, Impulse Response and Multivariate GARCHPanchanan DasThis study analyses the empirical interdependence among asset returns, industrial growth and inflation after controlling for interest rate by considering stochastic seasonality and conditional volatility with monthly time series in India. The HEGY unit root test suggests that industrial growth and inflation experience only stochastic trend and no persistent stochastic behaviour at any other seasonal frequencies, while stock return follows … …American Journal of Applied Sciences, Vol. 18, Issue 1 · 3 May 2021 · 7,344 accessesView PDF Cite

Research ArticleOpen accessIn the abstractA Price Hedging Model in Dynamic MarketKuo-Wei Lin, Kuang-Jung Tseng, Szu-Cheng ChengProblem statement: Pricing is a problem when a firm has to set a price for the first time. This happens when the firm develops or acquires a new product, introduces its regular product into a new distribution or geographical area, or enters bids on the new contract work. Many companies try to set the price to maximize current profits. They … …American Journal of Applied Sciences, Vol. 9, Issue 7 · 3 Aug 2012 · 6,938 accessesView PDF Cite

Research ArticleOpen accessIn the abstractStochastic Estimator-Based Wireless Traffic Control SchemesFrancis Joseph Ogwu, Mohammad Talib, Ganiyu Adesola AderounmuRecent works on Available Bit Rate (ABR) traffic control have generated efficient control schemes for ABR traffic on Asynchronous Transfer Mode (ATM) network. This study examines the improved performance envisaged if these control schemes adjust dynamically to the varying ABR bandwidth capacity in a stochastic manner instead of conventional deterministic approach .The performance difference between setting explicit rate deterministically for … …Journal of Computer Science, Vol. 3, Issue 12 · 31 Dec 2007 · 7,099 accessesView PDF Cite