Financial Applications of Bivariate Markov Processes
Joint Authors
Ortobelli Lozza, Sergio
Bianchi, Annamaria
Angelelli, Enrico
Source
Mathematical Problems in Engineering
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-10-29
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
This paper describes a methodology to approximate a bivariate Markov process by means of a proper Markov chain and presents possible financial applications in portfolio theory, option pricing and risk management.
In particular, we first show how to model the joint distribution between market stochastic bounds and future wealth and propose an application to large-scale portfolio problems.
Secondly, we examine an application to VaR estimation.
Finally, we propose a methodology to price Asian options using a bivariate Markov process.
American Psychological Association (APA)
Ortobelli Lozza, Sergio& Angelelli, Enrico& Bianchi, Annamaria. 2011. Financial Applications of Bivariate Markov Processes. Mathematical Problems in Engineering،Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-464662
Modern Language Association (MLA)
Ortobelli Lozza, Sergio…[et al.]. Financial Applications of Bivariate Markov Processes. Mathematical Problems in Engineering No. 2011 (2011), pp.1-15.
https://search.emarefa.net/detail/BIM-464662
American Medical Association (AMA)
Ortobelli Lozza, Sergio& Angelelli, Enrico& Bianchi, Annamaria. Financial Applications of Bivariate Markov Processes. Mathematical Problems in Engineering. 2011. Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-464662
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-464662