Search
Now showing items 1-10 of 32
(Research report / Forskningsrapport, 2007)
We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency ...
(Research report / Forskningsrapport, 2007)
We present a random walk approximation to fractional Brownian motion where the increments of the fractional random walk are defined as a weighted sum of the past increments of a Bernoulli random walk.
(Research report / Forskningsrapport, 2007)
(Research report / Forskningsrapport, 2007)
In this paper we use some ideas of Cornet and de Boisdeffre to study the concept of arbitrage under asymmetric information. The mathematical framework is a separable probability space where the agents' information are ...
(Research report / Forskningsrapport, 2007)
One inherent weakness of traditional reliability theory (see eqr 340) is that the system and the components are always described just as functioning or failed. The first attempts to replace this by a theory for multistate ...
(Research report / Forskningsrapport, 2007)
When an oil or gas field development project is evaluated, having a satisfactory production model is very important. Since the first attempts in the 40's, many different models have been developed for this purpose. Such a ...
(Research report / Forskningsrapport, 2007)
Several aspects of nonslender (short) column limits are considered. Such limits, below which it is acceptable to ignore local second-order effects that may cause maximum moment to develop between member ends, are generally ...
(Research report / Forskningsrapport, 2007)
We study discretizations of the Maxwell-Klein-Gordon equation as an example of a constrained geometric non-linear evolution partial differential equation. For the temporal gauge we propose a fully discrete scheme which ...
(Research report / Forskningsrapport, 2007)
(Research report / Forskningsrapport, 2007)
The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders ...