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Full-Text Articles in Mathematics
Stochastic Modeling Of Retail Mortgage Loans Based On Past Due, Prepaid, And Default States, Chang Liu
Stochastic Modeling Of Retail Mortgage Loans Based On Past Due, Prepaid, And Default States, Chang Liu
Doctoral Dissertations
Stochastic models were developed that provide important measures related to retail mortgages and credit cards for the management of a bank. Based on Markov theory, two models were developed that predict mortgage portfolio size and expected duration of stay in each of the states, which are defined according to the criteria of Basel Accord II and the Federal Reserve Bank. Also, to facilitate comparisons among different types of credit products and different time periods, a model was developed to generate a health index for a retail mortgage. This model could be easily extended, using multivariate regression or multivariate time series …
Black-Scholes And Extended Black-Scholes Models: A Comparative Statistical Analysis, Bradley Thomas Bush
Black-Scholes And Extended Black-Scholes Models: A Comparative Statistical Analysis, Bradley Thomas Bush
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Much research has been done on options pricing. Black and Scholes [12] set the benchmark in 1973 with their model for arbitrage-free, risk-neutral options valuation. Arbitrage-free refers to a market environment where prices are such that trading opportunities with no risk do not exist and risk-neutral commodities earn a risk free interest rate. Since then the literature has seen a multitude of models improving the fit of the traditional Black -Scholes (BS) model. A brief overview of options and these models is given. A derivation and discussion of BS is followed by a derivation and discussion of the Extended Black-Scholes …