کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
978722 | 933300 | 2006 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A path integral approach to asset-liability management
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
Functional integrals constitute a powerful tool in the investigation of financial models. In the recent econophysics literature, this technique was successfully used for the pricing of a number of derivative securities. In the present contribution, we introduce this approach to the field of asset-liability management. We work with a representation of cash flows by means of a two-dimensional delta-function perturbation, in the case of a Brownian model and a geometric Brownian model. We derive closed-form solutions for a finite horizon ALM policy. The results are numerically and graphically illustrated.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 363, Issue 2, 1 May 2006, Pages 404–416
Journal: Physica A: Statistical Mechanics and its Applications - Volume 363, Issue 2, 1 May 2006, Pages 404–416
نویسندگان
Marc Decamps, Ann De Schepper, Marc Goovaerts,