This paper presents an application of two way variable expansion method (multiple scale) for the calculation of the periodic solutions, resulted from a Hopf bifurcation of a discretized generic PDE in finance to a first order time-delay system arising from laser dynamics and a si...
Open access
Research Article10.9734/BJMCS/2015/18407
To forecast the market risk, assessing the stock price indices is the foundation. Multi-fractal has lots of advantage when explaining the volatility of the stock prices. The asset price returns is a multi-period (multi-fractal dimension) market depending on market scenarios which...
Open access
Research Article10.9734/BJMCS/2014/10971
Asset-liability management is a means of managing the risk that can arise from the changes in the relationship between assets and liabilities. Value-at-risk (VaR) and tail conditional expectation (TCE) have also emerged in recent years as standard tools for measuring and controll...
Open access
Research Article10.9734/BJMCS/2011/355
‘Asset–liability control’ is meant for managing the risk arising from changes in the relationship between assets and liabilities, due to volatile interest rate in critical situations like economic recession, inflation, etc. A stochastic asset-liability model (ALM), if adopted, an...
Open access
Research Article10.9734/BJMCS/2011/183