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Weeklong STC on 'Discretization Techniques' concludes at NIT Srinagar – Kashmir Reader

Weeklong STC on 'Discretization Techniques' concludes at NIT Srinagar – Kashmir Reader
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Adnan Qayoum , Manoj Kumar , Sudhakar Yedla , Mohsin Khan , Syed Kaiser Bukhari , Institute Registrar Prof , Dean Research , National Institute Of Technology , Department Of Mechanical Engineering , Head Of The Department Prof , Short Term Course , Discretization Techniques , Mechanical Engineering , National Institute , Finite Element Method , Finite Volume Method , Finite Difference Method , Chief Patron , Dean Faculty Welfare , Ved Prakash ,

"Optimal asset allocation under search frictions and stochastic interes" by Ning Wang, Song Ping Zhu et al.

In this paper, we investigate an optimal asset allocation problem in a financial market consisting of one risk-free asset, one liquid risky asset and one illiquid risky asset. The liquidity risk stems from the asset that cannot be traded continuously, and the trading opportunities are captured by a Poisson process with constant intensity. Also, it is assumed that the interest rate is stochastically varying and follows the Cox–Ingersoll–Ross model. The performance functional of the decision maker is selected as the expected logarithmic utility of the total wealth at terminal time. The dynamic programming principle coupled with the Hamilton–Jacobi–Bellman equation has been adopted to solve this stochastic optimal control problem. In order to reduce the dimension of the problem, we introduce the proportion of the wealth invested in the illiquid risky asset and derive the semi-analytical form of the value function using a separation principle. A finite difference method is employed ....

Expected Utility Maximization , Finite Difference Method , Optimal Asset Allocation , Search Frictions , Tochastic Control , Stochastic Interest Rate ,

"Pricing credit default swaps with Parisian and Parasian default mechan" by Wenting Chen, Xin Jiang He et al.

This paper proposes Parisian and Parasian default mechanics for modeling the credit risks of the CDS (credit default swap) contracts. Unlike most of the structural models used in the literature, our new model assumes that the default will occur only if the price of the reference asset stays below a certain level for a pre-described period of time. To work out the corresponding CDS price, a general pricing formula containing the unknown no-default probability is derived first. It is then shown that the determination of such a probability is equivalent to the valuation of a Parisian or Parasian down-and-out binary options, depending on how the time is recorded. After the option price is solved with a θ finite difference scheme, the CDS price is obtained through the derived general pricing formula. Finally, some numerical experiments are carried out to study the effects of the new default mechanics on the CDS prices. ....

Binary Options , Credit Default Swaps , Finite Difference Method , Arisian Type Options ,