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Defaultable Bonds via HKA
(non-)systematic risk state price density killed HKA Markov functional model quadratic Gaussian
2011/3/30
To construct a no-arbitrage defaultable bond market, we work on the state price density framework. Using the heat kernel approach (HKA for short) with the killing of a Markov process, we construct a s...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2009/5/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American...
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Mortality Risk Sharpe Ratio Life Annuities
2010/12/13
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this ri...
Detecting speculative bubbles created in experiments via decoupling in agent based models
Detecting speculative bubbles experiments decoupling agent models
2010/12/20
Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as...
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Optimal solution investment problems via linear parabolic equations generated Kalman filter
2010/12/17
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the mar...