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On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
investment analysis mean-variance analysis parameter uncertainty interval estimation test theory.
2012/9/14
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-var...
Equivalence of interest rate models and lattice gases
Equivalence of interest rate models lattice gases Computational Finance
2012/4/28
We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). Th...
Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Call and put pricing functions Implied volatility Lee’s moment formula
2010/10/21
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's mom...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Asymptotic equivalence volatility estimation microstructure noise
2010/10/18
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
主讲人
Zhao Jingang 教授
加拿大University of Saskatchewan
题目
Equivalence between the Existence Theorems on Nash Equilibrium, Core and Hybrid Equilibrium
时间
2005年5月18日（星期三）下午2:00-3:30
地点
北京大学中国经济研究中心万众楼小教室
工作语...