搜索结果: 76-90 共查到“知识库 数理经济学”相关记录241条 . 查询时间(5.062 秒)
Root's Barrier: Construction, Optimality and Applications to Variance Options
Construction Optimality Applications Variance Options Pricing of Securities
2011/7/25
Abstract: Recent work of Dupire (2005) and Carr & Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedgin...
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
Durbin-Watson statistic first-order autoregressive process Statistical test for serial correlation
2011/7/25
Abstract: The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the...
吉林大学商学院应用金融系博士生导师张屹山教授，男，1949年10月生。1970年入吉林大学数学系学习，1973年毕业留校任教，1992----1993年在日本关西学院大学学习，1996----2008年任吉林大学商学院院长。现为吉林大学商学院教授、博士生导师，中国数量经济学会副理事长，吉林省数量经济学会理事长，国务院特殊津贴享受者，全国MBA教育指导委员会委员，吉林省有突出贡献中青年专家。自198...
Econophysics: Empirical facts and agent-based models
Econophysics Stylized facts Financial time series Correlations Order book models
2010/11/2
This article aim at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words “Economics” and “Physics...
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...
Optimal split of orders across liquidity pools: a stochastic algorithm approach
Asset allocation Stochastic Lagrangian algorithm reinforcement principle monotone dynamic system
2010/11/2
Evolutions of the trading landscape lead to the capability to exchange the same financial
instrument on different venues. Because of liquidity issues, the trading firms split large orders across seve...
Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
Asymmetric statistics of order books discreteness evidence strategic order placement
2010/11/1
We show that the statistics of spreads in real order books is character-ized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NY...
An extension of Davis and Lo's contagion model
credit risk contagion model dependent defaults default distribution exchangeability
2010/10/29
firms which may default directly or may be infected by other defaulting firms (a domino effect being also possible). The spontaneous default without external influence and the infections are described...
Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications
Truncated Variation Brownian Motion Applications
2010/11/3
In [6] for c > 0 we defined truncated variation, T V c μ , of Brownian motion with drift, Wt = Bt+μt, t 0, where (Bt) is a standard Brownian motion.
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model
2010/10/18
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula...
Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
Fluctuation-Dissipation Theory Input-Output Interindustrial Correlations
2010/11/3
The fluctuation-dissipation theory is invoked to shed light on input-output industrial correlations at a macroscopic level; it is applied to the IIP (indices of industrial production) data in Japan.
The Bellman Equation for Power Utility Maximization with Semimartingales
The Bellman Equation for Power Semimartingales
2010/11/3
The Bellman Equation for Power Utility Maximization with Semimartingales.
Variance Optimal Hedging for continuous time processes with independent increments and applications
Variance Optimal continuous time processes independent increments applications
2010/11/3
Variance Optimal Hedging for continuous time processes with independent increments and applications.
Bonds with volatilities proportional to forward rates
bond market HJM condition linear volatitlity
2010/11/2
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence
and non-existence of the...