The identification of a bivariate Markov chain market model

Download

index.pdf

Date

2004

Author

Yıldırak, Şahap Kasırga

Metadata

Show full item record

Item Usage Stats

147
views

82
downloads

This work is an extension of the classical Cox-Ross-Rubinstein discrete time market model in which only one risky asset is considered. We introduce another risky asset into the model. Moreover, the random structure of the asset price sequence is generated by bivariate finite state Markov chain. Then, the interest rate varies over time as it is the function of generating sequences. We discuss how the model can be adapted to the real data. Finally, we illustrate sample implementations to give a better idea about the use of the model.

Subject Keywords

Marketing

URI

http://etd.lib.metu.edu.tr/upload/1257898/index.pdf
https://hdl.handle.net/11511/13947

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

Understanding the Dark Sides of Alternative Economies to Maximize Societal Benefit Watson, Forrest (SAGE Publications, 2020-06-01) Alternative economies can significantly contribute to societal flourishing, but the potential dark sides should also be considered. As shared commitments are the foundation of alternative economies, we draw on related literature to conceptualize various types of dark sides of an alternative economy. While less prominent than the well-being outcomes, we present qualitative data of when the participants of one alternative food network experienced disappointment, burnout, guilt, or division. Comparing with the...
Joint and interactive effects of trust and (inter) dependence on relational behaviors in long-term channel dyads Yilmaz, C; Sezen, B; Özdemir, Özlem (Elsevier BV, 2005-04-01) The authors investigate the effects of trust on the relational behaviors of firms in long-term channel dyads across different interdependence structures. Based on the long-term nature of the empirical setting, trust is posited to exert a positive effect on the emergence of relational behaviors in all interdependence conditions. This positive effect of trust is hypothesized to be stronger in highly and symmetrically interdependent channel dyads than in low-interdependence-type symmetric dyads. In addition, f...
Trust-Driven Entrepreneurship for Community Well-Being of Refugees and Their Local Hosts Baktir, Zeynep; Watson, Forrest (SAGE Publications, 2020-07-01) This article explores community well-being (CWB) outcomes of institutional trust (and distrust) through entrepreneurship in the context of a refugee-hosting society in Turkey. Existing studies show the positive relationship between institutional trust and quality of life (QOL) as well as entrepreneurship and QOL in subsistence contexts. This research, however, explores the relationship between institutional (dis)trust and entrepreneurship on a path to CWB with a special emphasis on refugee and local interac...
Collaboration and competition in presence of imperfect information and non-linear pricing Karabaş, Şükriye; Savaşaneril Tüfekci, Seçil; Department of Industrial Engineering (2012) In this thesis, a market is assumed with n competing buyers where price is an inverse linear function of the quantity supplied to the market. The buyers get engaged in Cournot competition, but may also collaborate on purchasing decisions from a supplier. The supplier offers a quantity discount, as the quantity purchased increases unit price decreases. Furthermore, the demand base in the market is uncertain, but the buyers may get a signal of the demand. In this setting, the value of collaboration, informati...
The Effect of Game-based ComputationalThinking Workshops on Students’ ComputationalThinking Skills” Çakır, Nur; Çakır, Murat Perit (null; 2019-08-16) This study explores the potential benefits of game design workshops to harness students’ enthusiasm for computer science. The workshop aimed to engage participants in age-appropriate activities that focus on computational thinking skills through the lens of creating their own game. During the workshop participants explored computational thinking in the context of both paper-based and computerized game design activities. A web-based game design interface that allows students to develop and play a game as sim...

Citation Formats

Ş. K. Yıldırak, “The identification of a bivariate Markov chain market model,” Ph.D. - Doctoral Program, Middle East Technical University, 2004.