Winter and Spring 2021, Volume 1 - Number 1
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Writer : Hanafizadeh، Payam ؛ Salmani، Hadiseh ؛
(22 page(s) - From 9 to 30 )
Keywords:Robust approachRobust net present valueProject with infinite lifeEconomic evaluation of investment projects
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Writer : Mohammadi Larijani، Marzieh ؛ Pahlevannezhad، Ali ؛ Pourrafiee، Mahdi ؛ Pourmohammad Azizi، S. M. Esmaeil ؛
(10 page(s) - From 49 to 58 )
Keywords:Markov regime switchingMarkov random regime switching modelDickey-Fuller testPhillips-Peron test.
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Writer : Safdari، Ali ؛ Karami، Parisa ؛
(5 page(s) - From 59 to 63 )
Keywords:Brownian motionStochastic Differential EquationsMerton modelBlack-Scholes equation
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Writer : Jafari، Farzad ؛ Tajdini، Saeid ؛ Lotfi Ghahroud، Majid ؛
(12 page(s) - From 65 to 76 )
Keywords:GARCHStock MarketVolatilityReversed Leverage Effect BiasGJRGARCH
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Writer : Sheybanifar، Soudeh ؛
(26 page(s) - From 77 to 102 )
Keywords:Covariance Matrixwavelet transformweight matrixsmooth
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Writer : Taherinasab، Yasser ؛ Amini، Mohammad ؛ Soheili، Ali R ؛
(24 page(s) - From 103 to 126 )
Keywords:Nonlinear stochastic differential equationsPoisson jumpcompensated split-step $theta$ methodone-sided Lipschitz conditionforward-backward Euler-Maruyama methodmean-square stability
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Writer : Bani Asadi، Samaneh ؛ Rivaz، Azim ؛
(12 page(s) - From 127 to 138 )
Keywords:European option pricing problemTau methodStochastic integro-differential Black-Scholes equationHermitian polynomial
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Writer : Peymany، Moslem ؛
(20 page(s) - From 139 to 158 )
Keywords:StocksOptionsMonte Carlo SimulationStochastic Differential EquationsFinite Difference
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Writer : Yilmazer، Resat ؛ Khalili Golmankhaneh، Alireza ؛ K. Ali، Karmina ؛ K. A. Kaabar، Mohammed ؛
(20 page(s) - From 159 to 178 )
Keywords:Fractal calculusthe fractal market equationthe local fractal Laplace transformthe nonlocal fractal Laplace transform
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Writer : Shahmoradi، Nafiseh ؛ Ghalibaf Asl، Hasan ؛
(19 page(s) - From 179 to 197 )
Keywords:ForecastingGARCHVolatilityArtificial neural networkFutures