- Economics - Research Publications
Economics - Research Publications
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ItemSome Optimal Dividends ProblemsDickson, DCM ; Waters, HR (Cambridge University Press (CUP), 2004-05)We consider a situation originally discussed by De Finetti (1957) in which a surplus process is modified by the introduction of a constant dividend barrier. We extend some known results relating to the distribution of the present value of dividend payments until ruin in the classical risk model and show how a discrete time risk model can be used to provide approximations when analytic results are unavailable. We extend the analysis by allowing the process to continue after ruin.
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ItemThe Concepts and Practice of Mathematical FinanceJOSHI, M (Cambridge University Press, 2003)
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ItemA displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementationJoshi, MS ; Rebonato, R (IOP PUBLISHING LTD, 2003-12)