An Approach to Wealth Modelling
| Data(s) |
17/06/2012
17/06/2012
2003
|
|---|---|
| Resumo |
2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10 The change in the wealth of a market agent (an investor, a company, a bank etc.) in an economy is a popular topic in finance. In this paper, we propose a general stochastic model describing the wealth process and give some of its properties and special cases. A result regarding the probability of default within the framework of the model is also offered. |
| Identificador |
Serdica Mathematical Journal, Vol. 29, No 3, (2003), 195p-224p 1310-6600 |
| Idioma(s) |
en |
| Publicador |
Institute of Mathematics and Informatics Bulgarian Academy of Sciences |
| Palavras-Chave | #Wealth Motion Models #Generalized Lévy Process #Brownian Motion with Returns to Zero |
| Tipo |
Article |
