搜索结果: 1-8 共查到“Brownian Motion”相关记录8条 . 查询时间(0.098 秒)
Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
Fractional Brownian motion Insurance reserve process Ito Integral Malliavin derivative Riccati equation
2011/9/7
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
credit derivative Credit risk default probability first passage time
2011/8/22
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatil...
Statistical Inference for Time-changed Brownian Motion Credit Risk Models
Credit risk structural model rst passage problem Levy process fast Fourier transform credit default spread maximum likelihood estimation
2011/3/23
We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent i...
Functionals of Exponential Brownian Motion and Divided Differences
Functionals of Exponential Brownian Motion Divided Differences
2010/10/20
We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlatio...
IS BROWNIAN MOTION NECESSARY TO MODEL HIGH-FREQUENCY DATA?
Semimartingale Brownian motion jumps finite activity infinite activity discrete sampling high frequency
2014/3/13
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuou...
Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications
Truncated Variation Brownian Motion Applications
2010/11/3
In [6] for c > 0 we defined truncated variation, T V c μ , of Brownian motion with drift, Wt = Bt+μt, t 0, where (Bt) is a standard Brownian motion.
Credit risk modeling using time-changed Brownian motion
Credit risk structural credit model time change L´ evy process first passage time default probability credit derivative
2010/11/1
Motivated by the interplay between structural and reduced form credit models, we propose
to model the firm value process as a time-changed Brownian motion that may include
jumps and stochastic volat...
BSDEs with two RCLL Reflecting Obstacles driven by a Brownian Motion and Poisson Measure and related Mixed Zero-Sum Games
BSDEs RCLL Reflecting Obstacles driven Brownian Motion Poisson Measure related Mixed Zero-Sum Games
2010/12/17
In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limits obstacles (or barriers) when the noise is given by Brownian motion and a Poisson...