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Heat kernel methods in finance: the SABR model
Heat kernel methods finance the SABR model Pricing of Securities
2012/3/2
The SABR model is a stochastic volatility model not admitting a closed form solution. Hagan, Kumar, Leniewski and Woodward have obtained an approximate solution by means of perturbative techniques. A ...
The path integral representation kernel of evolution operator in Merton-Garman model
path integration evolution operator kernel option pricing Black-Scholes formula Merton-Garman model
2011/7/5
In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed.
Based on this kernel option formula is obtained, which generalizes the well-known Bla...
Geometric Allocation Approach for Transition Kernel of Markov Chain
Markov chain Transition kernel Geometric allocation Detailed balance Reversibility
2011/7/5
We introduce a new geometric approach that constructs a
transition kernel of Markov chain. Our method always minimizes the av-
erage rejection rate and even reduce it to zero in many relevant cases,...
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Heat Kernel Interest Rate Models Time-Inhomogeneous Markov Processes
2011/1/4
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
Double Kernel estimation of sensitivities。
《Handbook of Game Theory with Economic Applications》Chapter 18 The bargaining set, kernel, and nucleolus
Handbook of Game Theory with Economic Applications The bargaining set kernel nucleolus
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 18 The bargaining set, kernel, and nucleolus。
A Heat Kernel Approach to Interest Rate Models
Interest rate models Markov-functional state price density heat
2010/11/2
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the approach. We work in the ...
Goodness-of-"t tests for kernel regression with an application to option impliedvolatilities
Goodness-of-"t Kernel regression Speci"cation testing Implied volatility smile
2014/3/13
This paper proposes a test of a restrictedspeci"cation of regression, basedon comparing residual sum of squares from kernel regression. Our main case is where both the restrictedspeci"cation andthe ge...