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Teaching auction strategy using experiments administered via the Internet
Teaching auction strategy experiments administered the Internet
2015/7/23
This article presents an experimental setup that has been used successfully to teach concepts in the economics of auctions, and implications for e-Business procurement. The experiment is easily admini...
The Research for Exploring Product Design Characteristics by SEM via Correlated Innovation and Design Strategy
Design Characteristics Innovation Strategy Design Strategy SEM
2013/2/19
Managers at NPD departments of Taiwan consumer electronic industry were interviewed to explore the effects innovation strategy (IS) has on design strategy (DS) and finally on product design characteri...
Risk minimizing of derivatives via dynamic g-expectation and related topics
dynamicg-expectation risk minimization problem risk indifferent price mar-ket price of risk risk aversion parameter.
2012/9/14
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamicg-expectations which are slight different from conditionalg-expectations. In...
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
dynamic coherent acceptability index conic finance dynamic coherent risk measures transaction costs dividend paying securities
2012/6/5
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a versi...
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Computing Functionals of Multidimensional Diffusions Monte Carlo Methods Numerical Analysis Computational Finance
2012/4/28
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processe...
Deriving consensus rankings via multicriteria decision making methodology
Marketing mix Customer satisfaction Retailing Benchmarking Multicriteria decision-making ELECTRE I method
2012/3/2
Purpose - This paper seeks to take a cautionary stance to the impact of the marketing mix on customer satisfaction, via a case study deriving consensus rankings for benchmarking on selected retail sto...
Exploring complex networks via topological embedding on surfaces
Complex Networks Maximal Embedded Graphs Triangulations Topological Froths Surface genus Hyperbolic networks
2011/7/20
We demonstrate that graphs embedded on surfaces are a powerful and practical tool to generate, characterize and simulate networks with a broad range of properties. Remarkably, the study of topological...
Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
Time Series Covariance Estimation Regularization Sparsity Thresholding Semiparametrics Graphical Model Variable Clustering
2011/7/5
To better understand the spatial structure of large panels of economic and nancial time
series and provide a guideline for constructing semiparametric models, this paper rst consid-
ers estimating...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Defaultable Bonds via HKA
(non-)systematic risk state price density killed HKA Markov functional model quadratic Gaussian
2011/3/30
To construct a no-arbitrage defaultable bond market, we work on the state price density framework. Using the heat kernel approach (HKA for short) with the killing of a Markov process, we construct a s...
Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Cointegrated Vector Autoregression -stable Approximate Bayesian Computation
2010/10/21
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in...
Validation of credit default probabilities via multiple testing procedures
credit default probabilities testing procedures
2010/10/21
We apply multiple testing procedures to the validation of estimated default probabilities in credit rating systems. The goal is to identify rating classes for which the probability of default is estim...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2009/5/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American...
Market viability via absence of arbitrage of the first kind
Arbitrage of the first kind cheap thrills fundamental theorem of asset pricing equivalent
2010/10/29
In a semimartingale financial market model, it is shown that there is equivalence be-tween absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive ...