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A continuous-in-time financial model

Author

Listed:
  • Emmanuel Frenod

    (LMBA - Laboratoire de Mathématiques de Bretagne Atlantique - UBS - Université de Bretagne Sud - UBO - Université de Brest - CNRS - Centre National de la Recherche Scientifique)

  • Tarik Chakkour

    (LMBA - Laboratoire de Mathématiques de Bretagne Atlantique - UBS - Université de Bretagne Sud - UBO - Université de Brest - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we construct a continuous-in-time model which is designed to be used for the finances of public institutions. This model is based on using measures over time interval to describe loan scheme, reimbursement scheme and interest payment scheme; and, on using mathematical operators to describe links existing between those quantities. The consistency of the model with respect to the real world is illustrated using examples and its mathematical consistency is checked. Then the model is used on simplified examples in order to show its capability to be used to forecast consequences of a decision or to set out a financial strategy.

Suggested Citation

  • Emmanuel Frenod & Tarik Chakkour, 2016. "A continuous-in-time financial model," Post-Print hal-01249324, HAL.
    • Handle: RePEc:hal:journl:hal-01249324
    Note: View the original document on HAL open archive server: https://hal.science/hal-01249324
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    References listed on IDEAS

    as
    1. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    2. Sundaresan, S.M., 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Papers 00-03, Columbia - Graduate School of Business.
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    Cited by:

    1. Tarik Chakkour, 2017. "Some Notes about the Continuous-in-Time Financial Model," Post-Print hal-01584982, HAL.
    2. Tarik Chakkour & Emmanuel Frénod, 2016. "Inverse problem and concentration method of a continuous-in-time financial model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-20, June.

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    More about this item

    Keywords

    Financial mathematics; Financial Strategy; Continuous-in-time modelling;
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