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Indeterminacy in a log–linearized neoclassical growth model with quasi-geometric discounting
The neoclassical growth model discounts nonlinear model logarithm linear function
2015/7/21
This paper studies the properties of solutions to a log–linearized version of the neoclassical growth model with quasi-geometric discounting. We show that after the log–linearization, the model has in...
Cost Analysis of Introducing a Log Identification System Using RFID in the Wood Supply Chain: A Case Study at a Swedish Forest Company
Log Stamping Forest Logistics Track and Trace Break-Even Analysis RFID
2013/2/20
A cost analysis for the possibility of a log identification system using Radio Frequency Identification (RFID) is presented in this paper. The introduction provides a brief description of the RFID tec...
Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
LIBOR market model L´ evy processes drift term Picard approximation option pricing caps swaptions annuities
2011/7/4
The LIBOR market model is very popular for pricing inter-
est rate derivatives, but is known to have several pitfalls. In addition, if
the model is driven by a jump process, then the complexity of t...
The near-extreme density of intraday log-returns
near-extreme density intraday log-returns tatistics
2011/7/4
The extreme event statistics plays a very important role in the theory and
practice of time series analysis. The reassembly of classical theoretical results
is often undermined by non-stationarity a...
Nonanalytic behaviour in a log-normal Markov functional model
Markov functional model Nonanalytic behaviour Computational Finance
2011/7/22
Abstract: In a previous paper it was shown that a Markov-functional model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, wh...
Log-Periodic Oscillation Analysis and Possible Burst of the "Gold Bubble" in April - June 2011
Log-Periodic Oscillation Analysis Gold Bubble
2011/1/4
This working paper analyzes the gold price dynamics on the basis of methodology developed by Didier Sornette. Our calculations indicate that this dynamics is close to the one of the "bubbles" studied ...
Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums
Insurance premium Weighted premium Weighted distribution
2010/10/21
The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to...
Phase transition in a log-normal Markov functional model
Phase transition log-normal Markov functional model
2010/10/21
We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corres...
Note on log-periodic description of 2008 financial crash
Note log-periodic description financial crash
2010/10/20
We analyze the financial crash in 2008 for different financial markets from the point of view of log-periodic function model. In particular, we consider Dow Jones index, DAX index and Hang Seng index...
Prediction accuracy and sloppiness of log-periodic functions
Prediction accuracy sloppiness log-periodic functions
2010/10/20
We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combination...
Fitting the Log Periodic Power Law to financial crashes: a critical analysis
Log Periodic Power Law financial crashes critical analysis
2010/10/18
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain rang...
Utilisation des méthodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalité dans le cas de petits échantillons
Prospective tables extrapolation adjustment life annuities
2010/10/18
The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods resp...
The financial crisis of 1997-1998 in East and Southeast Asia has raised
questions about the sustainability of some hitherto admired modes of poverty
reduction. But this paper argues that there remai...
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Econophysics Financial risk European options Fat-tailed distributions Student’s t-distribution
2010/11/1
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student’s t -distributions, which have fat tails, are known to fit the distributions ...
Current log-periodic view on future world market development
Current log-periodic world market
2010/12/13
Applicability of the concept of financial log-periodicity is discussed and encouragingly verified for various phases of the world stock markets development in the period 2000-2010. In particular, a s...