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BSDEs with random default time and their applications to default risk
Backward stochastic differential equation Random default time Comparison theorem Zero-sum stochastic differential game
2010/11/2
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk.The equations are driven by Brownian motion as well as a ...
Continuous-Time Markowitz's Model with Transaction Costs
continuous time mean-variance transaction costs singular stochastic control planning horizon
2010/11/1
A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market
with one stock, one bond, and proportional transaction costs. This is a singular stochastic control prob...
From the decompositions of a stopping time to risk premium decompositions
Random times classification of stopping times enlargements of filtrations
2010/11/3
We build a general model for pricing defaultable claims. In addition to the usual ab-
sence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occu...
Superfamily classification of nonstationary time series based on DFA scaling exponents
Superfamily classification DFA scaling exponents
2010/11/3
The superfamily phenomenon of time series with different dynamics can be charac-terized by the motif rank patterns observed in the nearest-neighbor networks of the time series in phase space. However,...
A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends
2010/10/29
We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in th...
Modeling operational risk data reported above a time-varying threshold
dependence modelling copula, compound process operational risk,Bayesian inference Markov chain Monte Carlo Slice sampling
2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
Hedge funds performance asset pricing models unobserved components models
2010/9/7
We introduce a multivariate components model for returns and net relative inflows into hedge funds, accounting for time-varying market premia. We estimate alpha as an unobserved variable of the econom...
Functional-coefficient models for nonstationary time series data
Nonstationary Nonlinearity Semiparametric estimation
2011/4/2
This paper studies functional coefficient regression models with nonstationary time series data, allowing also for stationary covariates. A local linear fitting scheme is developed to estimate the coe...
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model ...
Effects of time dependency and efficiency on information flow in financial markets
efficiency information flow financial markets
2010/12/13
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri
Conditional characteristic function Goodness-of-fit Multifactor continuous-time Markov model Nonparametric regression
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form o...
A Simulation Test for Continuous-Time Models
Continuous-time model Dynamic probability integral transform Generalized residuals Monte Carlo integration Simulation Transition density
2011/4/6
In this article, we propose a simulation method to implement Hong and Li’s (2005) transition density based test for continuous-time models. The idea is to simulate a sequence of dynamic probability in...
The Correlation Structure of Some Financial Time Series Models
Autocorrelations mixed ARMA models Wold representation aggregation
2010/9/7
The purpose of this paper is to examine the correlation structure of mixed autoregressive and moving average (ARMA) models, as discussed in Granger and Morris (1976). The technique we use to obtain th...
主讲人
Chor-yiu Sin
Xiamen University
题目
Capturing cross-sectional correlation with time series: with an application to unit root test
时间
2007年5月9日（星期三）下午14:00-----15:30
地点
北京大学中国经济研究中心万众楼大教室
工作语言
英文
联系电...
The Republic of Korea joins Japan to support an FAO forestry project for the first time（图）
forest management
2007/3/28
Rome, 13 March 2007 - The Republic of Korea signed an agreement today with FAO promising to forge resources in order to strengthen sustainable forest management.