Inverse problem and concentration method of a continuous-in-time financial model

被引：3
|
作者：
Chakkour, Tarik [1 ]
Frenod, Emmanuel [1 ]
机构：
[1] Univ Bretagne Sud, Lab Math Atlantic Brittany, UMR 6205, LMBA, F-56000 Vannes, France
来源：
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2016年 / 3卷 / 02期
关键词：
Inverse problem; financial model; concentrated measure; mathematical model;
D O I：
10.1142/S242478631650016X
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In a continuous-in-time model, there is an important financial quantity called Loan which cannot be determined directly in terms of algebraic spending but has a major impact on the financial strategy. In this paper, we use a mathematical framework to discuss an inverse problem of determining the implied Loan Measure from Algebraic Spending Measure when it is possible. In addition, we build a numerical method to concentrate a measure as a sum of Dirac masses.
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收藏
页数：20
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