Jusko, Martin - Search Results - Digital Repository

guest :: login Digital Repository
		Search		Submit		Help		About

Home > Search Results: Jusko, Martin

Search:

Search Tips :: Advanced Search

Search collections:

Sort by:	Display results:	Output format:

	ARCH and GARCH volatility models Jusko, Martin ; Hudecová, Šárka (advisor) ; Anděl, Jiří (referee) Detailed record
	Almost optimal trading strategies for small transaction costs Jusko, Martin ; Dostál, Petr (advisor) ; Štěpán, Josef (referee) We consider agent trading futures on a market with small transaction costs. Her capital is deposited on a money market account, where compounding is possible. Arithmetic Brownian motion with random coefficients is considered as a model for futures strike price. The coefficients are assumed to be bounded Itô processes with bounded coefficients. Under these assumptions, an almost optimal interval strategy is derived, which almost maximizes expected utility in certain stopping times under hyperbolic absolute risk aversion utility function. Furthermore, under logarithmic utility function the derived strategy almost maximizes expected utility in wide class of (integrable) stopping times. Detailed record
	ARCH and GARCH volatility models Jusko, Martin ; Anděl, Jiří (referee) ; Hudecová, Šárka (advisor) Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.

Digital Repository :: :: :: ::
Powered by v1.1.2
Maintained by

This site is also available in the following languages:
Česky English