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Martingale Model

Author

Listed:
  • Giandomenico, Rossano

Abstract

The model determines a stochastic continuous process as continuous limit of a stochastic discrete process so to show that the stochastic continuous process converges to the stochastic discrete process such that we can integrate it. Furthermore, the model determines the expected volatility and the expected mean so to show that the volatility and the mean are increasing function of the time.

Suggested Citation

  • Giandomenico, Rossano, 2006. "Martingale Model," MPRA Paper 21973, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:21973
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    File URL: https://mpra.ub.uni-muenchen.de/21973/1/MPRA_paper_21973.pdf
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    Citations

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    Cited by:

    1. Rossano Giandomenico, 2011. "Asset Liability Management for Banks," The IUP Journal of Bank Management, IUP Publications, vol. 0(4), pages 31-46, November.
    2. Giandomenico, Rossano, 2006. "Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management," MPRA Paper 18844, University Library of Munich, Germany.
    3. Giandomenico, Rossano, 2006. "Asset Liability Management in Insurance Company," MPRA Paper 16333, University Library of Munich, Germany, revised Jan 2009.

    More about this item

    Keywords

    Geometric Brown process; Wiener process;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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