Browsing by Author "Lari-Lavassani, Ali"
Now showing 1 - 4 of 4
Results Per Page
Sort Options
Item Open Access Advanced Monte Carlo simulations and option pricing(2000) Wong, Hilda Evangeline; Lari-Lavassani, AliItem Open Access Continuous Time Portfolio Selection under Conditional Capital at Risk(2010-06-17) Dmitrasinovic-Vidovic, Gordana; Lari-Lavassani, Ali; Li, Xun; Ware, AntonyPortfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure—conditional capital at risk—and find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients.Item Open Access Continuous Time Portfolio Selection under Conditional Capital at Risk(Hindawi Publishing Corporation, 2010) Dmitrasinovic-Vidovic, Gordana; Lari-Lavassani, Ali; Li, Xun; Ware, AntonyItem Open Access Numerical methods for modeling energy spot prices(2000) Tifenbach, Bradley Dale; Lari-Lavassani, Ali