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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1071443
Description: An optimal selection problem for bid and ask quotes subject to a stock inventory constraint is investigated, formulated as a constrained utility maximisation problem over a finite time horizon. The ar ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/269884
Description: We discuss a mathematical model for optimal cash management. A firm wishes to manage cash to meet demands for daily operations, and to maximize terminal wealth via bank deposits and stock investments ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174381
Description: This paper introduces a novel approach to discuss an optimal inventory level of a retail product using a real option framework. We consider stochastic models for the evolution of the demand and unit p ... More
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Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/188893
Description: We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian r ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172305
Description: We discuss the asset allocation problem in the important class of parametric non-linear time series models called the threshold autoregressive model in (J. Roy. Statist. Soc. Ser. A 1977; 140:34-35; P ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/188906
Description: We consider an optimal selection problem for bid and ask quotes subject to a value-at-Risk (VaR) constraint when arrivals of the buy and sell orders are governed by a Poisson process. The problem is f ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/179624
Description: This paper develops a model for measuring the risk inherent from trading a bond position under some important stochastic interest rate models. We employ the value at risk (VaR) and expected shortfall ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/110253
Description: In this paper, we develop an option valuation model in the context of a discrete-time multivariate Markov chain model using the Esscher transform. The multivariate Markov chain provides a flexible way ... More
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Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/211195
Description: This paper develops a valuation model for a perpetual convertible bond when the price dynamics of the underlying share are governed by continuous-time Markovian regime-switching models. We suppose tha ... More
Reviewed: Reviewed
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