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Randomised Mixture Models for Pricing Kernels
Pricing kernel asset pricing, interest rate modelling yield curve randomised mixtures Lévy processes Esscher martingales weighted heat kernel Markov processes
2011/12/28
Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and environmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial m...
Multiplicative noise, fast convolution, and pricing
Computational Finance Stochastic Processes Non-Gaussian Option Pricing Numerical Methods for Option Pricing
2011/7/19
In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorithm provides a numeri...
Theory of Information Pricing
Information Pricing nancial institutions quantity of upside information
2011/7/4
In nancial markets valuable information is rarely circulated homogeneously, because
of time required for information to spread. However, advances in communication
technology means that the `lifetim...