搜索结果: 1-11 共查到“货币银行学 diffusion”相关记录11条 . 查询时间(0.024 秒)
Financial Development and Technology Diffusion
Technology Commercialization Financial Markets
2015/4/28
We examine the extent to which financial market development impacts the diffusion of 16 major technologies, looking across 55 countries, from 1870 to 2000. We find that greater depth in financial mark...
Technological Change, Financial Innovation, and Diffusion in Banking
banking financial innovation technological change
2011/9/26
This paper discusses the technological change and financial innovation that commercial banking has experienced during the past twenty-five years. The paper first describes the role of the financial sy...
The Puzzle of the Diffusion of Central-Bank Independence Reforms: Insights from an Agent-Based Simulation
Agent-based modeling Central banks Diffusion Kingdon
2011/9/24
The emergence of an ever-widening sphere of global public policy is a new reality in a world characterized by the blurring of boundaries between the national and the global; by flows of ideas, people,...
Maximum penalized quasi-likelihood estimation of the diffusion function
Maximum penalized quasi-likelihood estimation diffusion function
2010/10/21
We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estima...
Two-sided estimates for stock price distribution densities in jump-diffusion models
Stochastic volatility models Jump-diffusion models Stock
2010/10/20
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Simila...
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Deterministic criteria arbitrage one-dimensional diffusion models
2010/10/20
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional d...
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...
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...
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...