搜索结果: 1-15 共查到“数量经济学 Stochastic”相关记录22条 . 查询时间(0.031 秒)
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
Numerical stability accurate stochastic simulation method the dynamic economic model
2015/7/21
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models.
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Second Order Multiscale Stochastic Volatility Asymptotics Stochastic Terminal Layer Analysis Calibration
2012/9/14
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...
The Exact Smile of some Local Stochastic Volatility Models
CEV local volatility stochastic volatility implied volatility.
2012/9/14
We introduce a class of local stochastic volatility models.Within our framework, we obtain an expression for both (i) the price of any European option and (ii) the induced implied volatility smile. To...
Stochastic Target Games with Controlled Loss
Stochastic target Stochastic game Geometric dynamic programming principle Vis-cosity solution
2012/9/14
We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which
action is chosen by the other player. We pro...
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Volatility derivatives stochastic volatility models partial differential equations parabolic equations target volatility option.
2012/9/14
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pri...
Stochastic Volatility with Heterogeneous Time Scales
Stochastic Volatility Long Memory Generalized Methods of Moments Econo-physics
2012/9/13
Agents' heterogeneity has been recognized as a driver mechanism for the persistence of nancial volatility. We focus on the multiplicity of investment strategies' horizons;we embed this concept in a c...
Approximating stochastic volatility by recombinant trees
American options stochastic volatility Heston model correlated random walk
2012/6/5
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting...
Optimal simulation schemes for Levy driven stochastic differential equations
Levy-driven stochastic differential equations high order discretization schemes weak approximation regular variation
2012/4/28
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by L\'evy processes with infinite activity. These schemes combine a compound Poisson a...
Maximum likelihood approach for several stochastic volatility models
Maximum likelihood approach several stochastic volatility models Computational Finance
2012/4/28
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method...
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
Stochastic finite differences multilevel Monte Carlo class of SPDEs finance Computational Finance
2012/4/28
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that th...
Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions
Degenerate elliptic and parabolic differential operators degenerate diffusion process Feller square root process Feynman-Kac formula
2012/4/28
We prove stochastic representation formulae for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our artic...
Efficient Discretization of Stochastic Integrals
Efficient Discretization of Stochastic Integrals Probability Computational Finance
2012/4/28
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a gene...
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Semimartingale Martingale Stochastic integration Fundamental theorem of asset pricing Stochastic dimension
2011/12/28
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartin-gale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The propert...
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
Stochastic optimal control non-Markovian SDE second order BSDE G-expectation random G-expectation volatility uncertainty risk measure
2011/7/5
We study stochastic differential equations (SDEs) whose drift and
diffusion coefficients are path-dependent and controlled. We construct
a value process on the canonical path space, considered simul...
Microscopic reasoning for the non-linear stochastic models of long-range memory
microfoundations agent based models stochastic models fnancial markets long-range memory
2011/7/4
We extend Kirman's model by introducing variable event time scale. The proposed
exi-
ble time scale is equivalent to the variable trading activity observed in nancial markets.
Stochastic version ...