搜索结果: 1-9 共查到“理论经济学 Affine”相关记录9条 . 查询时间(0.046 秒)
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Continuous-time equilibrium exponential utility CAPM affine processes information based asset pricing implied volatility
2012/3/2
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of u...
Path properties and regularity of affine processes on general state spaces
affine processes path properties regularity Markov semimartingales
2011/7/20
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of...
Density Approximations for Multivariate Affine Jump-Diffusion Processes
Affine Processes Asymptotic Expansion Density Approximation
2011/7/25
Abstract: We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hi...
Pricing and Hedging in Affine Models with Possibility of Default
Pricing Hedging in Affine Models Possibility of Default
2011/1/4
We propose a general class of models for the simultaneous treatment of equity, corporate bonds, government bonds and derivatives. The noise is generated by a general affine Markov process. The framewo...
Exact and high order discretization schemes for Wishart processes and their affine extensions
Wishart processes affine processes exact simulation
2010/10/21
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use co...
A Type of HJM Based Affine Model: Theory and Empirical Evidence
Affine Term Structure Model HJM Finite Dimensional Realization Linear Realization Theory State Space Framework Macro-economy
2011/4/2
In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Fini...
Solvable Nonlinear Volatility Diffusion Models with Affine Drift
Solvable Nonlinear Volatility Diffusion Models Affine Drift
2010/11/1
We present a method for constructing new families of solvable one-dimensional di usions with linear drift and nonlinear di usion coecient functions, whose tran-sition densities are obtainable in anal...
Affine processes on positive semidefinite matrices
affine processes Wishart processes stochastic volatility stochastic invariance
2010/11/2
The article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and...
Abstract. Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. The consideration of the symmetries of the associated Hamilton-Jacobi-Bellman equation allows one to o...