Inverse problem and concentration method of a continuous-in-time financial model

Tarik Chakkour and Emmanuel Frénod ()
Additional contact information
Tarik Chakkour: Laboratory of Mathematics of Atlantic Brittany, University of Bretagne-Sud, UMR 6205, LMBA, F-56000 Vannes, France
Emmanuel Frénod: Laboratory of Mathematics of Atlantic Brittany, University of Bretagne-Sud, UMR 6205, LMBA, F-56000 Vannes, France

International Journal of Financial Engineering (IJFE), 2016, vol. 03, issue 02, 1-20

Abstract: In a continuous-in-time model, there is an important financial quantity called Loan which cannot be determined directly in terms of algebraic spending but has a major impact on the financial strategy. In this paper, we use a mathematical framework to discuss an inverse problem of determining the implied Loan Measure from Algebraic Spending Measure when it is possible. In addition, we build a numerical method to concentrate a measure as a sum of Dirac masses.

Keywords: Inverse problem; financial model; concentrated measure; mathematical model (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S242478631650016X
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijfexx:v:03:y:2016:i:02:n:s242478631650016x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S242478631650016X

Access Statistics for this article

International Journal of Financial Engineering (IJFE) is currently edited by George Yuan

More articles in International Journal of Financial Engineering (IJFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().