A continuous-in-time financial model

Emmanuel Frenod () and Tarik Chakkour ()
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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

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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.

Keywords: Financial mathematics; Financial Strategy; Continuous-in-time modelling (search for similar items in EconPapers)
Date: 2016-02-01
New Economics Papers: this item is included in nep-for
Note: View the original document on HAL open archive server: https://hal.science/hal-01249324v1
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Citations: View citations in EconPapers (2)

Published in Mathematical Finance Letters., 2016

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01249324

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