搜索结果: 1-14 共查到“世界经济学 stochastic”相关记录14条 . 查询时间(0.119 秒)
A Stochastic Model of Mortality, Fertility, and Human Capital Investment
Uncertainty Precautionary demand Quality-Quantity trade off
2015/9/21
This paper examines the relationship between fertility and human capital investment,
and it’s implications for economic growth, focusing on the effects of declining mortality.
Unlike the exist...
A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...
Stochastic evolution equations in portfolio credit modelling
credit risky assets large portfolio numerical methods
2011/3/30
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the ...
On stochastic calculus related to financial assets without semimartingales
A-martingale weak k-order Brownian motion no-semimartingale utility maximization insider no-arbitrage viability hedging
2011/3/23
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to ...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
Term structure Stochastic volatility Wishart Autoregressive process
2011/4/2
This paper proposes an affine term structure model in a stochastic volatility setting. It provides a useful modeling tool to bridge the two strands of macroeconomic and finance research: the DSGE-VAR ...
On discrete stochastic processes with long-lasting time dependence
discrete stochastic processes long-lasting time dependence
2010/12/20
In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a...
Exotic derivatives under stochastic volatility models with jumps
Double-barrier options volatility surface volatility derivatives forward starting options
2010/11/3
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass...
This paper considers the Merton portfolio management problem. We are concerned with non-exponential discounting of time and this leads to time inconsistencies of the decision maker. Following Ekeland...
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients
Optimal investment consumption Black--Scholes market Lévy-driven stochastic coefficients
2010/12/20
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black--Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornst...
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
2010/12/20
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The f...
Backward Stochastic PDEs related to the utility maximization problem
Backward Stochastic PDEs utility maximization problem
2010/12/20
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are descri...
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Option pricing stochastic volatility exponential Ornstein-Uhlenbeck model
2010/12/17
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed ...
Mathematical analysis of long tail economy using stochastic ranking processes
Mathematical analysis long tail economy stochastic ranking processes
2010/12/17
We present a new method of estimating the distribution of sales rates of, e.g., book titles at an online bookstore, from the time evolution of ranking data found at websites of the store. The method i...