discrete time model

discrete time model

A model in which the system under analysis jumps from one state to the next at fixed intervals at a finite rate of change at each interval.
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Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of banking based on the valuation of loan portfolio risk based on a discrete time model of contingent claims analysis--Empirical research findings suggest that the spread of loan required by risk--averse lenders is in general higher than the risk premium of the tradeable bond (s) issued by the same borrower.
Merton (16) has argued that the Black-Scholes formula for the European call option may be obtained in a discrete time model if there is a single investor whose utility function exhibits constant proportional risk aversion and the returns on the underlying asset follow a lognormal distribution and the underlying asset is aggregate national wealth.
First is discretization of controller designed for continuous time model of plant and second approach is direct discrete time design based on approximate discrete time model of system.
SMC is first designed in continuous and then this control technique is implemented in discrete time using discretization of (continuous time) CT controller and direct discrete time design based on approximate discrete time model of system.
In that case, the obtained discrete time model is the following:
The boost converter under current mode control is used as an example circuit and the corresponding bifurcation diagrams, based on the discrete time model are presented.
In fact, it is observed that considering a continuous or a discrete time model implies different assumptions.
As usual, in the investment literature, both continuous and discrete time models are developed.
As a result of the discrete time model, we can measure the entire CA state, or any portion of interest, at each time step.
Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods
Continuous and discrete time models are considered as well as life tables and matrices for evaluating age-structured populations.
1979, The Pricing of Contingent Claims in Discrete Time Models, Journal of Finance, 34: 53-68.

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