Inverse problem and concentration method of a continuous-in-time financial model
chakkour, tarik ; Frénod, Emmanuel
HAL, hal-01359689 / Harvested from HAL
Text on HAL
In a continuous-in-time model there is the important financial quantity called Loan which can not be determined directly in terms of Algebraic Spending but has a major impact on the financial strategy. In this paper, we use a mathematical framework to discuss an inverse problem of determining the implied Loan Measure from Algebraic Spending Measure when it is possible. In addition, we build a numerical method to concentrate a measure as a sum of Dirac masses.
Publié le : 2016-07-04
Classification:  [MATH.MATH-AP]Mathematics [math]/Analysis of PDEs [math.AP],  [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA] 
@article{hal-01359689,
     author = {chakkour, tarik and Fr\'enod, Emmanuel},
     title = {Inverse problem and concentration method of a continuous-in-time financial model},
     journal = {HAL},
     volume = {2016},
     number = {0},
     year = {2016},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01359689}
}

chakkour, tarik; Frénod, Emmanuel. Inverse problem and concentration method of a continuous-in-time financial model. HAL, Tome 2016 (2016) no. 0, . http://gdmltest.u-ga.fr/item/hal-01359689/