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In an unexpected mashup of financial and mechanical engineering, researchers have discovered that the same modeling used to forecast fluctuations in the stock market can be used to predict aspects of ...
Market models for CDOs driven by time-inhomogeneous Lévy processes
Market models CDOs driven time-inhomogeneous Lévy processes
2010/10/20
This paper considers a top-down approach for CDO valuation and proposes a market model. We extend previous research on this topic in two directions: on the one side, we use as driving process for the...
Benchmarking and Fair Pricing Applied to Two Market Models
growth optimal portfolio benchmark approach fair pricing Merton jump-diffusion model
2009/5/7
This paper considers a market containing both continuous and discrete noise. Modest assumptions ensure the existence of a growth optimal portfolio. Non-negative self-financing trading strategies, when...
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Volatility forecasts at-the-money implied relation
2010/10/29
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...
Benchmarking and Fair Pricing Applied to Two Market Models
growth optimal portfolio benchmark approach fair pricing
2010/12/7
This paper considers a market containing both continuous and discrete noise. Modest assumptions ensure the existence of a growth optimal portfolio. Non-negative self-financing trading strategies, when...