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Modeling a Random Cash Flow of an Asset with a Semi-Markovian Model

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Data-Driven Modeling for Sustainable Engineering (ICEASSM 2017)

Part of the book series: Lecture Notes in Networks and Systems ((LNNS,volume 72))

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Abstract

In this paper, we use a semi-Markovian model to compute the conditional higher moments of any order of the present value of cash flows generated by an investment, taking into account the state of the market. With the force of interest following a stochastic process, we give an example to illustrate our results.

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Author information

Authors and Affiliations

  1. School of Economics, University of Johannesburg, Johannesburg, South Africa

    Franck Adékambi

Authors
  1. Franck Adékambi
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Correspondence to Franck Adékambi .

Editor information

Editors and Affiliations

  1. LCOMS/ENIM, University of Lorraine, Metz, France

    Kondo H. Adjallah

  2. Institut Charles Delaunay, University of Technology of Troyes, Troyes, France

    Babiga Birregah

  3. School of the Built Environment, Oxford Brookes University, Oxford, Oxfordshire, UK

    Henry Fonbeyin Abanda

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Adékambi, F. (2020). Modeling a Random Cash Flow of an Asset with a Semi-Markovian Model. In: Adjallah, K., Birregah, B., Abanda, H. (eds) Data-Driven Modeling for Sustainable Engineering. ICEASSM 2017. Lecture Notes in Networks and Systems, vol 72. Springer, Cham. https://doi.org/10.1007/978-3-030-13697-0_8

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