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This international conference, jointly organized by HSBC Business School and Key Laboratory of Mathematical Economics and Quantitative Finance, both from Peking University, and NUS Risk Management Ins...
During the last several years, spending on prescription drugs in the U.S. increased at a 15% annual rate, with the $178 billion spent in 2002 accounting for more than 11% of health care expenditures i...
We develop a model of online advertising in which each advertiser chooses from multiple advertising measurement metrics—paying either for each click on its ads (CPC), or for each purchase that follows...
The optimal policy prescription in response to congestion on a traffic network involves taxes levied so as to increase the private costs of vehicle use by the amount of the costs imposed on other user...
The term “global liquidity” is often invoked by emerging market policy makers to denote the global factor that drives cross-border spillovers in financial conditions and credit growth. The term is oft...
The term “global liquidity” is often invoked by emerging market policy makers to denote the global factor that drives cross-border spillovers in financial conditions and credit growth. The term i...
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
In this paper, we follow the study of second order BSDEs with jumps started in our accompanying paper [17]. We prove existence of these equations bya direct method,thus providing complete wellposednes...
In two previous papers the author developed a second-order price adjustment (t\^atonnement) process. This paper extends the approach to include both quantity and price adjustments. We demonstrate thre...
This article proposes a method for pricing exhaustible resources from a second-best economics perspective. In the theory of exhaustible resources, the classical result, originally derived by Harold Ho...
The article focuses on the financial performance of the banking industry in the U.S. for the second quarter of 2006. During the period, total assets of reporting bank holding companies grew 2.7 percen...
The article focuses on trends in the banking industry in the United States during the second quarter of 2005. Trends indicate credit quality improvements, increase in shareholders' equity at reporting...
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable asse...
Understanding the dynamics of innovation involves local and national levels and different types of analyses. Historical perspectives stress the heterogeneity of innovation processes across time, sect...
Second Order Risk      Second Order Risk        2010/11/2
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself,what we ...

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