搜索结果: 106-120 共查到“知识库 数理经济学”相关记录241条 . 查询时间(1.421 秒)
The Discontinuous Trend Unit Root Test with a Break Interval
unit-root test discontinuous-trend break-interval
2009/5/7
Dickey and Fuller proposed tests for the unit root hypotheses in a uni-variate time series. Perron (1989) extended the t-ratio type unit-root tests so that they allow for a break in the deterministic...
Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space
Monte Carlo Characteristic Function Momentum Space
2010/10/29
In mathematical nance and other applications of stochastic processes, it is frequently the case that the characteristic function may be known but explicit forms for density functions are not availabl...
Inference on multivariate ARCH processes with large sizes
Inference multivariate ARCH processes large sizes
2010/10/29
The covariance matrix is formulated in the framework of a linear multivariate ARCH
process with long memory, where the natural cross product structure of the covariance is
generalized by adding two ...
单点水平重置期权的定价
重置期权 鞅定价 单点水平
2009/1/12
通过鞅定价方法并借助于极值的概率分布研究了单点水平重置期权的定价问题,并且得到了单点水平重置看涨期权与看跌期权的定价公式．
Differentiability of quadratic BSDEs generated by continuous martingales
Forward Backward Stochastic Differential Equation driven by continuous martingale quadratic growth Markov property BMO martingale
2010/11/1
In this paper we consider a class of BSDEs with drivers of quadratic growth, on a
stochastic basis generated by continuous local martingales. We first derive the Markov
property of a forward-backwar...
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Stochastic volatility option pricing perturbation theory
2010/10/29
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretic...
Dynamical complexity and symplectic integrability
Dynamical complexity symplectic integrability
2010/11/1
We introduce two numerical conjugacy invariants for dynamical systems – the complexity and weak complexity indices – which are well-suited for the study of “completely integrable” Hamiltonian systems....
Quantitative features of multifractal subtleties in time series
Quantitative features multifractal subtleties time series
2010/11/1
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series.
Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
econophysics stock-exchange markets financial risk informatinal fascicle
2010/11/1
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of
the risks in financial markets. For this purpose, the thermodynamical methods and
statistical physics resul...
Systemic Risk in a Unifying Framework for Cascading Processes on Networks
Systemic Risk Unifying Framework Networks
2010/11/1
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as ...
Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
Bayesian Adaptive Construction Scheme
2010/11/1
We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics.In the adaptive construction s...
Discrete-Time Interest Rate Modelling
Interest rates models pricing kernels financial time series Flesaker-Hughston models transversality condition
2010/11/2
This paper presents an axiomatic scheme for interest rate models in discrete time.
We take a pricing kernel approach, which builds in the arbitrage-free property and pro-
vides a link to equilibrium...
Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Markov Processes Risk Analysis Stochastic Programming Scenarios
2010/10/29
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. I...
Preferences Yielding the "Precautionary Effect"
value of information uncertainty learning precautionary effect support function
2010/11/1
Consider an agent taking two successive decisions to maximize his expected utility under uncertainty. After his first decision, a signal is revealed that provides information about the state of nature...
Phenomenology of minority games in efficient regime
Minority game adaptive system Markov process de Bruijn graph
2010/11/1
We present a comprehensive study of utility function of the minority game in its efficient
regime. We develop an effective description of state of the game. For the payoff function
g(x) = sgn(x) we ...