FINANCIAL ENGINEERING eJOURNAL
"Polynomial Preserving Diffusions and Applications in Finance"
Swiss Finance Institute Research Paper No. 14-54
DAMIR FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne, Swiss Finance Institute
MARTIN LARSSON, Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
This article provides the mathematical foundation for polynomial preserving diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and electricity. Uniqueness of polynomial preserving diffusions is established via moment determinacy in combination with pathwise uniqueness. Existence boils down to a stochastic invariance problem that we solve for diffusions on nonnegativity sets of C2 functions. In conjunction with tools from real algebraic geometry this yields existence and detailed boundary attainment conditions for polynomial preserving diffusions on semialgebraic sets. Several particular semialgebraic state spaces are analyzed in detail, including the unit ball, the product of the unit cube and nonnegative orthant, as well as the unit simplex.
"Economic Performance Evaluation of Fragile 5 Countries after the Great Recession of 2008-2009 Using Analytic Network Process and TOPSIS Methods"
The Clute Institute International Business & Education Conferences, August 3-7, 2014 Sheraton Fisherman’s Wharf Hotel, San Francisco, USA, 325-1:325-14
EMRAH ÖNDER, Istanbul University - School of Business - Department of Quantitative Techniques
NIHAT TAS, Istanbul University - School of Business
ALI HEPSEN, Istanbul University - Faculty of Business Administration, Department of Finance
Economic performance evaluation problem consists many criteria and sub criteria. Therefore it is a kind of multi-criteria decision making (MCDM) problem. It is very important for a country to monitor performance parameters in order to ensure that appropriate and timely decisions and plans can be made. Suitable performance measures can ensure that governments adopt a long-term perspective and allocate the country’s resources to the most effective activities. Fragile five (F5) countries namely Brazil, Turkey, India, Indonesia and South Africa have large and fast growing economies. These developing countries are the members of the G20 countries. But F5 countries have also some economic problems such as current account deficit, external credit and currency. The aim of this study is to evaluate the economic performance model of F5 countries during 2001-2013 periods. Both Analytical Network Process (ANP) and Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) methodologies are used for the outranking of countries using macroeconomic indicators including gross domestic product, current account balance, general government gross debt, general government revenue, general government total expenditure, gross national savings, inflation (average consumer prices), population, total investment, unemployment rate, volume of exports of goods and services, volume of imports of goods and services. In this study, subjective and objective opinions of economy expert turn into quantitative form with ANP.
About this eJournal
This eJournal distributes working and accepted paper abstracts related to development and employment of quantitative techniques to further our understanding of financial markets, instruments, and strategies. The eJournal welcomes research with a focus on advancing the theory or practice of financial engineering in endowments, hedge funds, insurance firms, investment and commercial banks, pension funds, and personal financial and retirement planning. Topics of interest include, but are not limited to, econometric analysis of financial data, enterprise risk management, investment and consumption models, optimal portfolio, pricing and hedging of financial instruments, as well as innovative empirical studies, analytical models, and mathematical algorithms in credit, energy, fixed-income and other markets.
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