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Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Continuous-time equilibrium exponential utility CAPM affine processes information based asset pricing implied volatility
2012/3/2
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of u...
Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Semi-Closed Cubature Applications Financial Diffusion Models
2010/10/21
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka~[Adv.~Math.~Econ.~6, 69--83, 2004] and Lyons--Victoir~[Proc.~R.~Soc.\\Lond.~Ser.~A 460, 169--198, 2004], involve the solution to...
Precautionary Measures for Credit Risk Management in Jump Models
Credit risk management Double exponential jump diffusion Spectrally negative Levy processes Scale functions Optimal stopping
2010/4/27
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of ...
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...