We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give firstly model-independent upper estimations for the difference. In addition we show numerical examples for two typical exponential Lévy models: Merton models and variance gamma m...

Malling-Merton 106 apple rootstocks inoculated with Pratylenchus penetrans, or uninoculated, were grown in a growth chamber in pots of loamy sand maintained at two moisture levels, 0 to -0.4 bar or 0 to -10 bars. Either inoculation or low soil moisture suppressed shoot growth and increased root necrosis. However, the nematode-soil moisture interaction was not significant.

The story of this theorem started like most of modern Mathematical Finance with the work of F. Black, M. Scholes [3] and R. Merton [25]. These authors consider a model S = (St)0≤t≤T of geometric Brownian motion proposed by P. Samuelson [30], which today is widely known under the name of Black–Scholes model. Presumably every reader of this article is familiar with the by now wellknown technique ...

High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The accuracy of the approximation as well as its speed are compared to and shown to be superior to those of Monte Carlo simulation.

Previous option pricing research typically assumes that the risk-free rate or the short rate is constant during the life of the option. In this study, we incorporate the stochastic nature of the short rate in our option valuation model and derive explicit formulas for European call and put options on a stock when the short rate follows the Merton model. Using our option model as a benchmark, ou...

I like to read some general significance into Eugene Garfield’s having offered me the privilege of introducing the reader to this book, which sets out the history, method, and implications of his distinctive contribution to the advancement of science: the first multidisciplinary citation index to the scientific literature. My being a close friend cannot account for his having done so. Gene has ...

Reksadana adalah media yang digunakan untuk mengumpulkan uang dari investor dan kemudian diinvestasikan dalam bentuk portofolio oleh manajer investasi. Penelitian ini bertujuan mengukur kinerja investasi reksadana syariah dengan menganalisis securities selection skill market timing ability berdasarkan model TreynorMazuy Henriksson-Merton. Data penelitian Nilai Aktiva Bersih, Sertifikat Bank Ind...