asymptotic results for the pricing of variance swaps with zero risk free rate when the expiration date increases
Pricing of convertible bonds with credit risk and stochastic interest rate
... arguments to set up the return on the portfolio equal to the risk- free rate The risk- free rate is just the spot rate Pricing of convertible bond with credit risk and stochastic interest rate 41 Choose ... formula for their price We first establish theoretical formulas for numeraire change in the general case then in the case of the Hull and White model in the previous section Then we calculate the ... use for American or Bermudan style options The other major approach of the second category is to describe the evolution of the instantaneous rate of interest, the rate that applies over the next...
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Trends in the European Investment Fund Industry in the Second Quarter of 2011 and Results for the First Half of 2011 potx
... billion during the first half of 2011, slightly behind the EUR 55 billion recorded in the first half of 2010 Long-term UCITS attracted EUR 87 billion during the first half of the year, down from ... (Second Quarter of 2011) Trends in the European Investment Fund Industry Net Assets by Country of Domiciliation The combined assets of the investment fund market in Europe, i.e the market for UCITS ... segment of the business accounted for just over 73 percent of the fund market at end June 2011, with the remaining 27 percent composed of non-UCITS Table Net Assets of the European Investm ent Fund...
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Trends in the European Investment Fund Industry in the Second Quarter of 2012 and Results for the First Half of 2012 pdf
... UCITS, this segment of the business accounted for almost 71 percent of the fund market at end June 2012, with the remaining 29 percent composed of non-UCITS Table Net Assets of the European Investm ... (Second Quarter of 2012) Trends in the European Investment Fund Industry Net Assets by Country of Domiciliation The combined assets of the investment fund market in Europe, i.e the market for UCITS ... during the quarter (4.1%), and net assets of balanced funds reduced by 2.1 percent Funds of funds registered an increase in net assets of 1.7 percent during the quarter Over the first half of 2012,...
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Consolidated Financial Results for the Third Quarter of the Fiscal Year Ending March 31, 2006 pot
... This segment information was prepared in accordance with rules for consolidated financial statements Therefore, all profit and loss from the transfer of the substitutional portion of the employees’ ... million, a 1.5 percent decrease from the same period in the previous fiscal year The decrease reflected the substantial effect of the transfer of the ATM and other information equipment business to ... accounted for by the equity method Figures for the nine months ended December 31, 2005 and the forecast for the year ending March 31, 2006 include transfer of substitutional portion of employees’...
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Báo cáo toán học: "An Asymptotic Expansion for the Number of Permutations with a Certain Number of Inversions" docx
... B(n)/n! with O(n−9/2 ln19 n) The following extension of Theorem (the case m = 3) giving a complete asymptotic expansion of I(n, x) can be immediately read out of its proof the electronic journal of ... are the Hermite polynomials defined before Theorem and the S2q are defined in Theorem In particular, we have a complete asymptotic expansion for B(n)/n! when n is even See Corollaries 2, for other ... ln−3/2 n) In particular, B(n)/n! has the same asymptotic the electronic journal of combinatorics (2000), #R50 Proof The asymptotic expansion for b(n, k)/n! when 2k = n ± xn3/2 /3 where x2 = x2...
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Đề tài " Sharp local wellposedness results for the nonlinear wave equation " pot
... compact set of values for r Then the continuity of G as a function of u with respect to the C ∞ -topology easily follows Regularity of null surfaces The goal of this section is to establish the following ... integral operators with complex phase, where both the phase and the symbol are smooth precisely on the scale of the localization provided by the imaginary part of the phase The work of Klainerman-Rodnianski ... existence for the case of smooth, compactly supported data of small norm, namely Proposition 3.1 In Section we present the proof of Proposition 3.1 by the continuity method At the heart of this proof...
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The Relationship Between Bank and Interbank Interest Rates during the Financial Crisis: Empirical Results for the Euro Area pptx
... interest rates are one of the main drivers of the rates charged by banks on loans The interest rates set by Central Bank affect the interbank rates, which are the basis of the process of defining the ... another prime bank The first is a real interest rate, while the second is an offered rate The EONIA is therefore more sensitive to expectations about the ECB's official interest rates, while the ... available information, together with the parameter estimates Extending the bivariate VAR(p) model (7) in order to allow the variance covariance matrix of the errors, the intercept term of the multivariate...
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CONSOLIDATED FINANCIAL RESULTS FOR THE FIRST QUARTER ENDED JUNE 30,2007 potx
... that two months of consolidated results for six of Sony’s retail businesses were included within All Other in the same quarter of the previous fiscal year However, the results of these businesses ... effect of other income and expenses The lower net effect of other income and expenses was a result of the recording of a net foreign exchange loss in the current quarter versus the net foreign ... primarily the result of a positive impact from the depreciation of the yen versus the U.S dollar and the Euro, as well as an increase in sales With regard to products within the Electronics segment, the...
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Old Mutual plc Interim results for the six months ended 30 June 2012 Good strategic and operational progress ppt
... and their impact on the condensed set of financial statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and (b) DTR 4.2.8R of the Disclosure ... largely as a result of lower returns on cash and bonds in South Africa For the results for the six months to 30 June 2012 the IFRS operating results of the African businesses of Zimbabwe, Kenya, ... £65.5 billion, with positive NCCF, higher equity markets at the end of the period and the addition of £3.9 billion of FUM for OMAM UK for the first time FUM included UK assets of £34.2 billion...
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CONSOLIDATED RESULTS FOR THE THREE MONTHS ENDED JUNE 2008 AND 2009 ppt
... materially different from the forecasts (earnings forecast, dividend forecast, and other forecasts) With respect to this forecast, please refer to pages for "3 Consolidated Financial Forecast." Nintendo ... segment accounts for over 90% of total sales and operating income of all business categories, with no other categories to be reported on the basis of disclosure rules Therefore, this information is ... Consolidated sales units, number of new titles, and sales unit forecast Nintendo DS of which Nintendo DSi Wii Hardware Japan The Americas Other Total Japan The Americas Other Total Software Japan The...
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Báo cáo sinh học: "Fixed point-type results for a class of extended cyclic self-mappings under three general weak contractive conditions of rational type" potx
... to the formal extension of the contractive condition through the use of more general strictly increasing functions of the distance between adjacent subsets In particular, the uniqueness of the ... which all the sequences of iterates of composed self-mappings T : A ∪ B → A ∪ B converge is proven in [14] for the extension of the contractive principle for cyclic self-mappings in uniformly convex ... and closed The research in [14] is centred on the case of the cyclic self-mapping being defined on the union of two subsets of the metric space Those results are extended in [15] for Meir-Keeler...
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Báo cáo sinh học: " Some results for the q-Bernoulli, q-Euler numbers and polynomials" ppt
... Cp denote the ring of p-adic integers, the field of p-adic numbers, and the completion of the algebraic closure of Qp , respectively Let | · |p be the p-adic norm on Q with |p|p = p−1 For convenience, ... formulas for the q-Bernoulli and q-Euler polynomials which will be used to prove the main results of this article 3 In Section 4, we construct the q-analogue of the Riemann’s ζ-functions, the Hurwitz ... completes the proof Remark 3.2 The remarkable point is that the series on the right-hand side of Lemma 3.1 is uniformly convergent in the wider sense From (2.13)and (2.14), we define the q-Bernoulli...
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báo cáo hóa học:" Some results for the q-Bernoulli, q-Euler numbers and polynomials" ppt
... Cp denote the ring of p-adic integers, the field of p-adic numbers, and the completion of the algebraic closure of Qp , respectively Let | · |p be the p-adic norm on Q with |p|p = p−1 For convenience, ... formulas for the q-Bernoulli and q-Euler polynomials which will be used to prove the main results of this article 3 In Section 4, we construct the q-analogue of the Riemann’s ζ-functions, the Hurwitz ... completes the proof Remark 3.2 The remarkable point is that the series on the right-hand side of Lemma 3.1 is uniformly convergent in the wider sense From (2.13)and (2.14), we define the q-Bernoulli...
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Báo cáo toán học: " Some results for the q-Bernoulli, q-Euler numbers and polynomials" doc
... basic formulas for the q-Bernoulli and qEuler polynomials which will be used to prove the main results of this article In Section 4, we construct the q-analogue of the Riemann’s ζ-functions, the ... N→∞ p Page of 16 pN −1 ak (1:3) a=0 (see [15,16]) Notice that, from the definition Bk Î ℚ, and these integrals are independent of the prime p which used to compute them The examples of (1.3) are: ... some basic formulas for p-adic q-Bernoulli, p-adic q-Euler numbers and polynomials which will be used to prove the main results of this article Let UD(ℤp, ℂp) denote the space of all uniformly (or...
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Báo cáo hóa học: " Existence results for a class of nonlocal problems involving p-Laplacian" pot
... satisfies the (C) condition, Lemma 2.4 still holds In the present paper, we give an existence theorem and a multiplicity theorem for problem (1.1) Our main results are the following two theorems Theorem ... in the space W1,p(Ω) endowed with the norm u = (|∇u| + |u| )dx p p p , and the space W1,p(Ω) may be split in the following way Let Wc = 〈1〉, that is, the subspace of W 1,p (Ω) spanned by the ... W1,p(Ω), Therefore, problem (1.1) has at least three distinct solutions in W1,p(Ω) □ Proof of Theorem 2.2 We divide the proof into several lemmas Lemma 3.3 If condition (F3) and (F5) hold, then J|Wcis...
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Báo cáo hóa học: " Some fixed point-type results for a class of extended cyclic self-mappings with a more general contractive condition" pdf
... each of the subsets and only the product of all the constants is requested to be less than unity On the other hand, the self-mapping can perform a number of iterations on each of the subsets before ... have been performed in the field of cyclic maps are related to the introduction and discussion of the so-called cyclic representation of a set M, decomposed as the union of a set of non-empty ... to the next adjacent subset of the p(≥ 2) -cyclic self-mapping The existence of a unique closed finite limiting sequence on any sequence of iterates from any initial point in the union of the...
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Báo cáo hóa học: " Research Article Reducibility and Stability Results for Linear System of Difference Equations" potx
... give a theorem on the reducibility of 1.1 into the form of 1.5 and then obtain asymptotic stability of the zero solution of 1.1 Reducible systems In this section, we give a theorem on the structure ... the Floquet theory for linear periodic system 1.7 We need the following three well-known theorems 3–5 Theorem 3.1 Let Φ n be the fundamental matrix of 1.1 with Φ n0 The zero solution of 1.1 is ... theorem on the structure of the matrix S n , and provide an example for illustration The results in this section are discrete analogues of the ones given in Theorem 2.1 The homogeneous linear...
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MULTIPLICITY RESULTS FOR A CLASS OF ASYMMETRIC WEAKLY COUPLED SYSTEMS OF SECOND-ORDER ORDINARY pptx
... we recall the statement of the Poincar´ e Miranda theorem in the two-dimensional case and we present the general multiplicity theorem on which the proof of our main theorem is based The concluding ... Indeed, the choice of ηi∗ in Lemma 2.5 depends on the particular ρ1 satisfying (2.19) which has been considered For this reason, to get the simplicity of the zeros of each component of the solutions ... the proof In the same context of the above proposition, we are able to provide a relation between the ith initial slope vi (0) of a solution v to system (2.11) and the exact number of zeros of...
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