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DESIGNING RANDOM ALLOCATION MECHANISMS:THEORY AND APPLICATIONS
Market Design Random Assignment Birkhoff-von Neumann Theorem Probabilistic Serial Pseudo-Market Utility Guarantee Assignment Messages
2015/7/21
Randomization is a common feature of everyday resource allocation. We generalize the theory of randomized assignment to accommodate various real-world constraints such as group-specific quotas (“contr...
Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
Time-Changed Ornstein-Uhlenbeck Processes Commodity Derivative Models Pricing of Securities
2012/4/28
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-...
Convex order properties of discrete realized variance and applications to variance options
independent increments increasing convex order discretely sampled
2011/3/30
We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in i...
BSDEs with time-delayed generators of a moving average type with applications to pricing and utilities
backward stochastic differential equations time-delayed
2010/10/21
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical and well-known framework with linear generators depending on $...
Dynamic Coherent Acceptability Indices and their Applications to Finance
dynamic coherent acceptability index dynamic measures of performance
2010/10/22
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, an...
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/10/21
The pricing of exotic options in exponential L\'evy models amounts to the computation of expectations of functionals of the whole path of a L\'evy process. In many situations, Monte-Carlo methods are ...
A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
Forward-backward stochastic Volterra integral equations Adapted
2010/10/20
This paper formulates and studies a stochastic maximum principle for forward-backward stochastic Volterra integral equations (FBSVIEs in short), while the control area is assumed to be convex. Then a ...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions for the exit problem class Lévy processes Applications pricing double barrier options
2010/10/19
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute ...
Stability analysis with applications of a two-dimensional dynamical system arising from a stochastic model of an asset market
Stability analysis with applications stochastic model of an asset market
2010/11/2
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess de...
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
discretization scheme diffusion processes
2010/12/13
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Mo...