搜索结果: 1-10 共查到“理论经济学 -Stable”相关记录10条 . 查询时间(0.251 秒)
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
Numerical stability accurate stochastic simulation method the dynamic economic model
2015/7/21
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models.
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...
Credit Default Swaps Drawup Networks: Too Tied To Be Stable?
Credit Default Swaps Drawup Networks Risk Management
2012/6/2
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns ...
Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution
heavy traffic ruin probability fractional random walk FARIMA process Poisson process
2011/3/23
Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as some FARIMA processe...
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/23
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving
Stochastic reserving Bayesian updating information-based asset pricing
2010/10/20
We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Tak...
Persistence in US Interest Rates: Is it Stable Over Time?
Fractional integration interest rates persistence
2010/9/7
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 throu...
Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
Spectral densities Analytical results Monte Carlo validation
2010/10/29
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, ...
主讲人
周瑞琳 教授
宾西法尼亚州立大学经济系
题目
A Stable Money Demand: Looking for the Right Monetary Aggregate
时间
2005年6月10日（星期五）下午14:00-15:30
地点
北京大学中国经济研究中心万众楼小教室
工作语言
英文
联系电话
62751475
演讲简介
In this paper, we argue that...
ADB Working to Build a Stable and Reliable Power System in the Philippines
Power System fiscal imbalance investment climate
2006/12/11
MANILA, PHILIPPINES (8 December 2006) - ADB is lending $450 million to help stabilize the power situation in the Philippines.The funds will assist the Philippine Government in restructuring the power ...