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A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit o...
Long-Term Behaviors and Implied Volatilities in General Affine Diffusion Models
Long-Term Behaviors Implied Volatilities General Affine Diffusion Models
2010/10/22
This paper considers asset price dynamics of which discounted return is modeled by a multi-dimensional affine diffusion process. By analyzing the Riccati system, which is associated with the affine p...
On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes
High dimension high frequency integrated covariance matrix
2010/10/20
We consider the estimation of integrated covariance matrices of high dimensional diffusion processes by using high frequency data. We start by studying the most commonly used estimator, the realized ...
Diffusion of Broadband and Online Advertising in Korea
Broadband and Online Advertising Korea
2009/12/2
The paper reviews various factors that helped and facilitated fast diffusion of broadband in Korea as it describes what made Korea a number one case for broadband Internet diffusion. It also discusses...
Robust utility maximization for diffusion market model with misspecified coefficients
The maximin problem saddle point Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation robust utility maximization
2010/11/2
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by di...
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
discretization scheme diffusion processes
2010/12/13
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Mo...