Hae
Aineistot 11-20 / 25
Pricing of IPOs : further evidence from South Africa
(Virtus Interpress, 2015)
- article
We examine the long-term performance of 225 IPOs listed on the Johannesburg Securities Index (JSE) during the period from 1996 to 2006. The buy-and-hold abnormal return (BHAR) method and the calendar time portfolio (CTP) ...
A Class of Sectorial Relations and the Associated Closed Forms
(Springer Nature, 2020-09-19)
- article
Let T be a closed linear relation from a Hilbert space H to a Hilbert space K and let B ∈ B(K) be selfadjoint. It will be shown that the relation T∗(I+iB)T is maximal sectorial via a matrix decomposition of B with respect ...
Passive discrete-time systems with a Pontryagin state space
(Springer, 2019-06-04)
- article
Passive discrete-time systems with Hilbert spaces as an incoming and outgoing space and a Pontryagin space as a state space are investigated. A geometric characterization when the index of the transfer function coincides ...
Conditional-mean hedging under transaction costs in Gaussian models
(World Scientific Publishing Company, 2018-04-02)
- article
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian ...
Transfer Principle for nth order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law
(2018)
- article
The n-th order fractional Brownian motion was introduced by Perrin et al. [13]. It is the (up to a multiplicative constant) unique self-similar Gaussian process with the Hurst index H∈(n-1,n), having n-th order stationary ...
Fractional delta hedging strategy for pricing currency options with transaction costs
(Scientific Press, 2017)
- article
This study deals with the problem of pricing European currency options in discrete time setting, whose prices follow the fractional Black Scholes model with transaction costs. Both the pricing formula and the fractional ...
Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
(Cogent OA, an imprint of Taylor & Francis, 2018-05-29)
- article
A new framework for pricing European currency option is developed in the case where the spot exchange rate follows a subdiffusive fractional Black–Scholes. An analytic formula for pricing European currency call option is ...
Factorized sectorial relations, their maximal-sectorial extensions, and form sums
(Springer, 2019-05-25)
- article
In this paper we consider sectorial operators, or more generally, sectorial relations and their maximal-sectorial extensions in a Hilbert space H. Our particular interest is in sectorial relations S, which can be expressed ...
Holomorphic operator-valued functions generated by passive selfadjoint systems
(Springer, Cham, 2019-04-09)
- bookPart
Let M be a Hilbert space. In this paper we study a class RS(m) of operator functions that are holomorphic in the domain C∖{(−∞,−1] ∪ [1,+∞)} and whose values are bounded linear operators in m . The functions in ...
Musikundervisning förverkligas på ojämlika villkor i årskurserna 1-6 i Finlands svenskspåkiga skolor
(Taideyliopisto, Sibelius-AkatemiaSuomen Taidekasvatuksen tutkimusseura, 2019)
- article