搜索结果: 16-29 共查到“理论经济学 diffusion”相关记录29条 . 查询时间(0.113 秒)
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Basket options pricing local volatility jump-diffusion model forward PIDE
2010/10/19
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We deri...
On generating Monte Carlo samples of continuous diffusion bridges
Stochastic diffusion equation, Sequential Monte Carlo, Resampling, Priority score, Backward pilot
2011/4/2
Diffusion processes are widely used in engineering, fiance, physics and other fields. Usually continuous time diffusion processes are only observable at discrete time points. For many applications, it...
On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes
Degenerate parabolic equations financial derivatives
2010/10/18
Semi-elliptic stochastic differential equations (SDEs) are common models among practitioners. However, value functions and sensitivities of such models are described by degenerate parabolic partial d...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
option pricing jump diffusion models
2010/10/18
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a par...
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Solvable Nonlinear Volatility Diffusion Models with Affine Drift
Solvable Nonlinear Volatility Diffusion Models Affine Drift
2010/11/1
We present a method for constructing new families of solvable one-dimensional di usions with linear drift and nonlinear di usion coecient functions, whose tran-sition densities are obtainable in anal...
Statistical mixing and aggregation in Feller diffusion
New applications of statistical mechanics Stochastic processes Rigorous results in statistical mechanics
2010/11/2
We consider Feller mean-reverting square-root diffusion, which has been applied to model a wide variety of processes with linearly state-dependent diffusion,such as stochastic volatility and interest ...
Jump-Diffusion Risk-Sensitive Asset Management
Jump-Diffusion Risk-Sensitive Asset Management
2010/11/1
This paper considers a portfolio optimization problem in which asset prices arer epresented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxilia...
Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
pricing formulas diffusion models the exponential Vasicek model
2010/12/13
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and...
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model ...
Professional Associations and the Diffusion of New Management Ideas in Shanghai, 1920-1930s: A Research Agenda
Professional Associations Diffusion New Management Ideas Shanghai
2010/10/8
In this paper, I examine the role business, professional, and academic networks played in diffusing new management ideas,such as scientific management, in China during the inter-war
years. At the cor...
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
Discrete Data the Underlying Continuous-Time Model a Diffusion
2014/3/13
Can discretely sampled financial data help us decide which continuous-time models are sensible? Diffusion processes are characterized by the continuity of their sample paths. This cannot be verified f...
Macroeconomic Forecasting Using Diffusion Indexes
Factor model Forecasting Principal components
2014/3/18
This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by princ...