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
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
A path integral approach to asset-liability management
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
نویسندگان
, , ,