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Chen Model
In finance, the Chen model is a mathematical model describing the evolution of interest rates. It is a type of "three-factor model" (short-rate model) as it describes interest rate movements as driven by three sources of market risk. It was the first stochastic mean and stochastic volatility model and it was published in 1994 by Lin Chen, economist, theoretical physicist and former lecturer/professor at Beijing Institute of Technology, American University of Beirut, Yonsei University of Korea, and SunYetSan University . The dynamics of the instantaneous interest rate are specified by the stochastic differential equations: : dr_t = \kappa(\theta_t-r_t)\,dt + \sqrt\,\sqrt\, dW_1, : d \theta_t = \nu(\zeta-\theta_t)\,dt + \alpha\,\sqrt\, dW_2, : d \sigma_t = \mu(\beta-\sigma_t)\,dt + \eta\,\sqrt\, dW_3. In an authoritative review of modern finance (''Continuous-Time Methods in Finance: A Review and an Assessment''), the Chen model is listed along with the models of Robert C. Merton ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Finance
Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Administration wich study the planning, organizing, leading, and controlling of an organization's resources to achieve its goals. Based on the scope of financial activities in financial systems, the discipline can be divided into Personal finance, personal, Corporate finance, corporate, and public finance. In these financial systems, assets are bought, sold, or traded as financial instruments, such as Currency, currencies, loans, Bond (finance), bonds, Share (finance), shares, stocks, Option (finance), options, Futures contract, futures, etc. Assets can also be banked, Investment, invested, and Insurance, insured to maximize value and minimize loss. In practice, Financial risk, risks are always present in any financial action and entities. Due ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Fixed Income Analysis
Fixed income analysis is the process of determining the value of a debt security based on an assessment of its risk profile, which can include interest rate risk, risk of the issuer failing to repay the debt, market supply and demand for the security, call provisions and macroeconomic considerations affecting its value in the future. Based on such an analysis, a fixed income analyst tries to reach a conclusion as to whether to buy, sell, hold, hedge or avoid the particular security. Fixed income products are generally bonds: debt instruments requiring the issuer (i.e. the debtor or borrower) to repay the lender the amount borrowed (principal) plus interest over a specified period of time (coupon payments) until maturity. They are issued by government treasuries, government agencies, companies or international organizations. Calculating Value To determine the value of a fixed income security, the analyst must estimate the expected cash flows from the investment and the approp ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Interest Rates
An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, the compounding frequency, and the length of time over which it is lent, deposited, or borrowed. The annual interest rate is the rate over a period of one year. Other interest rates apply over different periods, such as a month or a day, but they are usually annualized. The interest rate has been characterized as "an index of the preference . . . for a dollar of present ncomeover a dollar of future income". The borrower wants, or needs, to have money sooner, and is willing to pay a fee—the interest rate—for that privilege. Influencing factors Interest rates vary according to: * the government's directives to the central bank to accomplish the government's goals * the currency of the principal sum lent or borrowed * the term to mat ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Moorad Choudhry
Moorad Choudhry was formerly Head of Business Treasury, Global Banking and Markets at Royal Bank of Scotland. Education Choudhry attended Claremont Fan Court School. He graduated from the University of Westminster (known as Polytechnic of Central London at the time) with a First class degree in economics. He graduated from the University of Reading with an MA. In 1998, he completed an MBA at Henley Management College. In 2008, he completed a PhD in financial economics at Birkbeck, University of London. Choudhry is visiting professor at the Department of Economics, London Metropolitan University, a visiting research fellow at the ICMA Centre, University of Reading, a senior fellow at the Centre for Mathematical Trading and Finance, Cass Business School, a fellow of the Securities and Investment Institute and a fellow of the Institute of Sales and Marketing Management. Career Choudhry was formerly head of business treasury, global banking and markets at Royal Bank of Scotl ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Emanuel Derman
Emanuel Derman (born 1945) is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book ''My Life as a Quant: Reflections on Physics and Finance''. He is a co-author of Black–Derman–Toy model, one of the first interest-rate models, and the Derman–Kani local volatility or implied tree model, a model consistent with the volatility smile. Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds. His book ''My Life as a Quant: Reflections on Physics and Finance'', published by Wiley in September 2004, was one of Business Week's top ten books of the year for 2004. In 2011, he published ''Models.Behaving.Badly'', a book contrasting financial models with the theories of hard science, and also containing some ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
John C
John is a common English name and surname: * John (given name) * John (surname) John may also refer to: New Testament Works * Gospel of John, a title often shortened to John * First Epistle of John, often shortened to 1 John * Second Epistle of John, often shortened to 2 John * Third Epistle of John, often shortened to 3 John People * John the Baptist (died ), regarded as a prophet and the forerunner of Jesus Christ * John the Apostle (died ), one of the twelve apostles of Jesus Christ * John the Evangelist, assigned author of the Fourth Gospel, once identified with the Apostle * John of Patmos, also known as John the Divine or John the Revelator, the author of the Book of Revelation, once identified with the Apostle * John the Presbyter, a figure either identified with or distinguished from the Apostle, the Evangelist and John of Patmos Other people with the given name Religious figures * John, father of Andrew the Apostle and Saint Peter * Pope John ( ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Darrell Duffie
James Darrell Duffie (born May 23, 1954) is a Canadian financial economist and is Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business. He is the author of numerous research articles, and several books, including ''Futures Markets'', ''Dynamic Asset Pricing Theory'', and—with Kenneth Singleton—''Credit Risk''. Education He holds a Ph.D. (1984) in Engineering Economic Systems from Stanford University, a Master of Economics (1980) from the University of New England (Australia), and a Bachelor of Science in Engineering (Civil Engineering) (1975) from the University of New Brunswick. Career Duffie has been on the finance faculty at Stanford since 1984. He is a Fellow and member of the Council of the Econometric Society, a Research Associate of the National Bureau of Economic Research, a member of the Financial Advisory Roundtable of the Federal Reserve Bank of New York, and a Fellow of The American Academy of Arts and Sciences. He was the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Robert C
The name Robert is an ancient Germanic given name, from Proto-Germanic "fame" and "bright" (''Hrōþiberhtaz''). Compare Old Dutch ''Robrecht'' and Old High German ''Hrodebert'' (a compound of '' Hruod'' () "fame, glory, honour, praise, renown, godlike" and ''berht'' "bright, light, shining"). It is the second most frequently used given name of ancient Germanic origin.Reaney & Wilson, 1997. ''Dictionary of English Surnames''. Oxford University Press. It is also in use as a surname. Another commonly used form of the name is Rupert. After becoming widely used in Continental Europe, the name entered England in its Old French form ''Robert'', where an Old English cognate form (''Hrēodbēorht'', ''Hrodberht'', ''Hrēodbēorð'', ''Hrœdbœrð'', ''Hrœdberð'', ''Hrōðberχtŕ'') had existed before the Norman Conquest. The feminine version is Roberta. The Italian, Portuguese, and Spanish form is Roberto. Robert is also a common name in many Germanic languages, including En ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematical Model
A mathematical model is an abstract and concrete, abstract description of a concrete system using mathematics, mathematical concepts and language of mathematics, language. The process of developing a mathematical model is termed ''mathematical modeling''. Mathematical models are used in applied mathematics and in the natural sciences (such as physics, biology, earth science, chemistry) and engineering disciplines (such as computer science, electrical engineering), as well as in non-physical systems such as the social sciences (such as economics, psychology, sociology, political science). It can also be taught as a subject in its own right. The use of mathematical models to solve problems in business or military operations is a large part of the field of operations research. Mathematical models are also used in music, linguistics, and philosophy (for example, intensively in analytic philosophy). A model may help to explain a system and to study the effects of different components, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stochastic Differential Equations
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs have many applications throughout pure mathematics and are used to mathematical model, model various behaviours of stochastic models such as stock prices,Musiela, M., and Rutkowski, M. (2004), Martingale Methods in Financial Modelling, 2nd Edition, Springer Verlag, Berlin. random growth models or physical systems that are subjected to thermal fluctuations. SDEs have a random differential that is in the most basic case random white noise calculated as the distributional derivative of a Brownian motion or more generally a semimartingale. However, other types of random behaviour are possible, such as jump processes like Lévy processes or semimartingales with jumps. Stochastic differential equations are in general neither differential equations nor random differential equations. Random differe ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Lin Chen (economist)
Chen Lin may refer to: * Chen Lin (Han dynasty), (died 217), Han dynasty minister, author and poet * Chen Lin (painter), (c. 1260–c. 1320), Yuan dynasty painter * Chen Lin (Ming dynasty), (1543–1607), Ming dynasty naval general *Chen Lin (English educator), (1922-2023), Chinese Language educator *Chen Lin (singer), (1970–2009), Chinese pop singer *Chen Lin (badminton), (born 1977), Chinese badminton player *Chen Lin (diver), (born 1970), Chinese diver *Lin Chen (playwright), (1919–2004) *Lin Chen (economist), 20th- and 21st-century economist; see Chen model *Lin Chen (chess player), (born 1988), Chinese chess player {{hndis, Chen, Lin ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
