搜索结果: 1-15 共查到“货币银行学 Stochastic”相关记录33条 . 查询时间(0.093 秒)
Optimal Stabilization Rules in a Stochastic Model of Investment with Gestation Lags
Optimal Stabilization Rules Gestation Lags
2015/8/5
Optimal Stabilization Rules in a Stochastic Model of Investment with Gestation Lags.
Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods
Linear-quadratic approximation Nonlinear models Numerical solution methods
2015/8/4
The purpose of this article is to report on a comparison of several alternative numerical solution
techniques for nonlinear rational-expectations models. The comparison was made by asking
individual...
Libor model with expiry-wise stochastic volatility and displacement
displaced Libor models stochastic volatility calibration to capstrike maturity matrix swaption pricing
2012/4/28
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of...
Utility Maximization, Risk Aversion, and Stochastic Dominance
Utility maximization, risk aversion, stochastic dominance
2011/7/22
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal pa...
Stochastic impulse control on optimal execution with price impact and transaction cost
Price impact impulse control dynamic programming vis-cosity solutions
2011/3/30
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage
2010/10/18
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model
2010/10/21
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
A three dimensional stochastic Model for Claim Reserving
Solvency II Risk management Claim reserving
2010/10/21
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic...
Stochastic Switching Games and Duopolistic Competition in Emissions Markets
Stochastic Switching Games Duopolistic Competition Emissions Markets
2010/10/18
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and prod...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula
2010/10/19
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models ...
Asymptotic analysis for stochastic volatility: Edgeworth expansion
Asymptotic analysis stochastic volatility Edgeworth expansion
2010/10/19
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization...
An Exact Connection between two Solvable SDEs and a Non Linear Utility Stochastic PDEs
forward utility performance criteria horizon-unbiased utility
2010/10/20
The paper proposes a new approach to consistent stochastic utilities, also called forward dynamic utility, recently introduced by M. Musiela and T. Zariphopoulou. These utilities satisfy a property of...
Applications of time-delayed backward stochastic differential equations to pricing, hedging and management of financial and insurance risks
backward stochastic differential equations participating contracts
2010/10/20
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a ...
Convex duality in stochastic programming and mathematical finance
Convex duality stochastic programming mathematical finance
2010/10/20
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies ma...