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- Brownian_model_of_financial_markets abstract "The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.Under this model, these assets have continuous prices evolving continuously in time and are driven by Brownian motion processes. This model requires an assumption of perfectly divisible assets and a frictionless market (i.e. that no transaction costs occur either for buying or selling). Another assumption is that asset prices have no jumps, that is there are no surprises in the market. This last assumption is removed in jump diffusion models.".
- Brownian_model_of_financial_markets wikiPageExternalLink Merton1971.pdf.
- Brownian_model_of_financial_markets wikiPageID "23004578".
- Brownian_model_of_financial_markets wikiPageLength "18449".
- Brownian_model_of_financial_markets wikiPageOutDegree "50".
- Brownian_model_of_financial_markets wikiPageRevisionID "679306466".
- Brownian_model_of_financial_markets wikiPageWikiLink Absolute_continuity.
- Brownian_model_of_financial_markets wikiPageWikiLink Almost_surely.
- Brownian_model_of_financial_markets wikiPageWikiLink Arbitrage.
- Brownian_model_of_financial_markets wikiPageWikiLink Asset.
- Brownian_model_of_financial_markets wikiPageWikiLink Black–Scholes_model.
- Brownian_model_of_financial_markets wikiPageWikiLink Bond_(finance).
- Brownian_model_of_financial_markets wikiPageWikiLink Bounded_variation.
- Brownian_model_of_financial_markets wikiPageWikiLink Brownian_motion.
- Brownian_model_of_financial_markets wikiPageWikiLink Category:Finance_theories.
- Brownian_model_of_financial_markets wikiPageWikiLink Category:Monte_Carlo_methods_in_finance.
- Brownian_model_of_financial_markets wikiPageWikiLink Continuous_function.
- Brownian_model_of_financial_markets wikiPageWikiLink Dividend.
- Brownian_model_of_financial_markets wikiPageWikiLink Filtration_(mathematics).
- Brownian_model_of_financial_markets wikiPageWikiLink Financial_market.
- Brownian_model_of_financial_markets wikiPageWikiLink Frictionless_market.
- Brownian_model_of_financial_markets wikiPageWikiLink Gain_(accounting).
- Brownian_model_of_financial_markets wikiPageWikiLink Girsanov_theorem.
- Brownian_model_of_financial_markets wikiPageWikiLink Harry_Markowitz.
- Brownian_model_of_financial_markets wikiPageWikiLink Hedge_(finance).
- Brownian_model_of_financial_markets wikiPageWikiLink Insider_trading.
- Brownian_model_of_financial_markets wikiPageWikiLink Jump_diffusion.
- Brownian_model_of_financial_markets wikiPageWikiLink Lebesgue_measure.
- Brownian_model_of_financial_markets wikiPageWikiLink Lebesgues_decomposition_theorem.
- Brownian_model_of_financial_markets wikiPageWikiLink Martingale_(probability_theory).
- Brownian_model_of_financial_markets wikiPageWikiLink Martingale_pricing.
- Brownian_model_of_financial_markets wikiPageWikiLink Mathematical_finance.
- Brownian_model_of_financial_markets wikiPageWikiLink Money_market.
- Brownian_model_of_financial_markets wikiPageWikiLink Monte_Carlo_method.
- Brownian_model_of_financial_markets wikiPageWikiLink Paul_Samuelson.
- Brownian_model_of_financial_markets wikiPageWikiLink Portfolio_(finance).
- Brownian_model_of_financial_markets wikiPageWikiLink Probability_measure.
- Brownian_model_of_financial_markets wikiPageWikiLink Probability_space.
- Brownian_model_of_financial_markets wikiPageWikiLink Risk.
- Brownian_model_of_financial_markets wikiPageWikiLink Risk_premium.
- Brownian_model_of_financial_markets wikiPageWikiLink Robert_C._Merton.
- Brownian_model_of_financial_markets wikiPageWikiLink Self-financing_portfolio.
- Brownian_model_of_financial_markets wikiPageWikiLink Semimartingale.
- Brownian_model_of_financial_markets wikiPageWikiLink Short_(finance).
- Brownian_model_of_financial_markets wikiPageWikiLink Stochastic_differential_equation.
- Brownian_model_of_financial_markets wikiPageWikiLink Stochastic_process.
- Brownian_model_of_financial_markets wikiPageWikiLink Stocks.
- Brownian_model_of_financial_markets wikiPageWikiLink Volatility_(finance).
- Brownian_model_of_financial_markets wikiPageWikiLink Wealth.
- Brownian_model_of_financial_markets wikiPageWikiLink William_F._Sharpe.
- Brownian_model_of_financial_markets wikiPageWikiLinkText "Brownian model of financial markets".
- Brownian_model_of_financial_markets bot "H3llBot".
- Brownian_model_of_financial_markets date "November 2010".
- Brownian_model_of_financial_markets wikiPageUsesTemplate Template:Cite_book.
- Brownian_model_of_financial_markets wikiPageUsesTemplate Template:Cite_journal.
- Brownian_model_of_financial_markets wikiPageUsesTemplate Template:Dead_link.
- Brownian_model_of_financial_markets subject Category:Finance_theories.
- Brownian_model_of_financial_markets subject Category:Monte_Carlo_methods_in_finance.
- Brownian_model_of_financial_markets type Redirect.
- Brownian_model_of_financial_markets type Theory.
- Brownian_model_of_financial_markets comment "The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.Under this model, these assets have continuous prices evolving continuously in time and are driven by Brownian motion processes.".
- Brownian_model_of_financial_markets label "Brownian model of financial markets".
- Brownian_model_of_financial_markets sameAs Q4976525.
- Brownian_model_of_financial_markets sameAs m.064ltsh.
- Brownian_model_of_financial_markets sameAs Q4976525.
- Brownian_model_of_financial_markets wasDerivedFrom Brownian_model_of_financial_markets?oldid=679306466.
- Brownian_model_of_financial_markets isPrimaryTopicOf Brownian_model_of_financial_markets.