MODELING FINANCIAL MARKETS WITH A COUNTABLE NUMBER STATES

Author(s): Shamraeva V.V.

Rubric: Mathematical cybernetics

DOI: 10.21777/2500-2112-2018-1-65-69

Release: 2018-1 (22)

Pages: 65-69

Keywords: аrbitrage-free markets, complete markets, martingale measure, special Haar filtering, the property of universal Haar uniqueness; noncoincidence barycenter condition

Annotation: Using the method of special interpolating Haar filtering, sufficient conditions are found for the parameters of the financial market with an countable number of States. These conditions make it possible to convert the initial incomplete arbitrage-free financial markets into a complete arbitrage-free. The obtained results can serve as a basis for creating a software package that can be used by investors to select the best strategies in the financial markets and build their hedging portfolios.

Bibliography: Shamraeva V.V. MODELING FINANCIAL MARKETS WITH A COUNTABLE NUMBER STATES // Education Resources and Technologies. – 2018. – № 1 (22). – С. 65-69. doi: 10.21777/2500-2112-2018-1-65-69