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Journal Articles International Journal of Financial Engineering Year : 2016

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

Abstract

In a continuous-in-time model there is the important financial quantity called Loan which can not 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.
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Dates and versions

hal-01359689 , version 1 (02-09-2016)

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Tarik Chakkour, Emmanuel Frénod. Inverse problem and concentration method of a continuous-in-time financial model. International Journal of Financial Engineering, 2016, ⟨10.1142/S242478631650016X⟩. ⟨hal-01359689⟩
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