搜索结果: 136-150 共查到“知识库 数量经济学”相关记录802条 . 查询时间(1.407 秒)
Shaping the international financial system in century of globalization
international financial system century globalization
2012/9/14
We educe a perspective on how be st to regulate the bank of tomorrow in frames of debate launched by the Intern ational Centre for Financial Regulation and
Financial Times. Our goal is to create a ...
Preliminary remarks on option pricing and dynamic hedging
Quantitative finance option pricing, European option dynamic hedging replication arbitrage time series volatility abrupt changes model-free control nonstandard analysis.
2012/9/14
An elementary arbitrage principle and the existence of trends in financial time series, which is base on a theorem published in 1995 by P. Cartier and Y. Perrin,lead to a new understanding of option p...
Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
Binomial Tree Model Bond Pricing Credit Risk
2012/9/14
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework kno...
Calibration of optimal execution of financial transactions in the presence of transient market impact
Calibration financial transactions market
2012/9/14
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A ...
A Compact Mathematical Model of the World System Economic and Demographic Growth, 1 CE - 1973 CE
economic macrodynamics demographic macrodynamics superexponential growth power-law behavior complex systems finite-time singularity the World System
2012/9/14
We propose an extremely simple mathematical model that is shown to be able to account for more than 99 per cent of all the variation in economic and demographic macrodynamics of the world for almost t...
Why price inflation in developed countries is systematically underestimated
Why price inflation in developed countries systematically underestimated
2012/9/14
There is an extensive historical dataset on real GDP per capita prepared by Angus Maddison. This dataset covers the period since 1870 with continuous annual estimates in developed countri...
Physical approach to price momentum and its application to momentum strategy
price momentum momentum/contrarian strategies spontaneous symmetry breaking of arbitrage
2012/9/14
We introduce various definitions for price momentum of financial instruments in quantitative and mathematical ways. Measurement of the price momentum de-rived from the concept of momentum in physics c...
Finite quantum mechanical model for the stock market
quantum mechanical model stock market
2012/9/14
The price of a given stock is exactly known only at the time of sale when the stock is between the traders. If we know the price (owner) then we have no information on the owner (price). A more genera...
We study the emergence of instabilities in a stylized model of a nancial market, when di erent market actors calculate prices according to di erent (local)
market measures. We derive typical propert...
Superreplication under Volatility Uncertainty for Measurable Claims
Volatility uncertainty Superreplication Nonlinear expectation
2012/9/14
We establish the duality-formula for the superreplicationprice in a setting of volatility uncertainty which includes the example of “random G-expectation.” In contrast to previous results, the conting...
On dependence consistency of CoVaR and some other systemic risk;measures
dependence consistency of CoVaR some other systemic risk measures
2012/9/14
This paper is dedicated to the consistency of systemic risk mea-sures with respect to stochastic dependence. It compares two alter-native notions of Conditional Value-at-Risk (CoVaR) available in the ...
Kinetic models for the trading of goods
Wealth and income distributions kinetic models Boltzmann equation Fokker-Planck equation.
2012/9/14
In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents.The leading idea is to describe the trading of these goods...
Benford's law and Theil transform of financial data
income expenses religious community Benford's laws Theil map time series.
2012/9/14
Among econophysics investigations, studies of religious groups have been of interest. On one hand, the present paper concerns the Antoinist community nancial reports, - a community which appeared at ...
High-order short-time expansions for ATM option prices under a tempered stable Lévy model
Exponential Levy models CGMY and tempered stable models short-time asymptotics at-the-money option pricing implied volatility.
2012/9/14
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM opti...
Quadratic BSDEs with Jumps and Related Non-linear Expectations: a Fixed-point Approach
BSDEs quadratic growth jumps non-linear Doob-Meyer decomposition dy-namical risk measures inf-convolution.
2012/9/17
We prove the existence of bounded solutions of quadratic backward SDEs with jumps, using a direct fixed point approach as in Tevzadze [35]. Under an additional standard assumption, we prove a uniquene...