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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...
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...
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 ...
The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
operational risk loss distribution approach Bayesian inference
2010/10/29
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches,
the bank’s internal model must include the use of internal data, relevant external data,
scenario analysis and f...
Stock Market Trading Via Stochastic Network Optimization
Queueing analysis stochastic control universal
2010/11/2
We consider the problem of dynamic buying and selling of shares from a collection of N stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of s...
Multidimensional dynamic risk measure via conditional g-expectation
risk measure conditional g-expectation
2010/12/13
This paper studies multidimensional dynamic risk measure induced by conditional $g$-expectation. A notion of multidimensional $g$-expectation is proposed to provide a multidimensional version of nonli...
We develop a model of tax evasion based on the Ising model. We augment the model using an appropriate enforcement mechanism that may allow policy makers to curb tax evasion. With a certain probability...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri
Conditional characteristic function Goodness-of-fit Multifactor continuous-time Markov model Nonparametric regression
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...