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Non - Randomness Stock Market Price Model (Amended)
Market Price Model Non - Randomness Stock
2011/7/22
Abstract: A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Nonanalytic behaviour in a log-normal Markov functional model
Markov functional model Nonanalytic behaviour Computational Finance
2011/7/22
Abstract: In a previous paper it was shown that a Markov-functional model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, wh...
Quantile Elasticity of International Tourism Demand for South Korea using Quantile Autoregressive Distributed Lag Model
Tourism demand Quantile autoregression Elasticity Response analysis
2011/4/1
This paper investigates international inbound tourism demand for South Korea and its determinants using quantile autoregressive model. In contrast to previous studies which dealt with only conditional...
Business Cycle Asymmetry in China: Evidence from Friedman’s Plucking Model
business cycle plucking model asymmetry regime switching structural break
2011/4/1
Friedman’s plucking model of business fluctuations suggests that output cannot exceed an upper limit, or ceiling level, but it is occasionally plucked downward, with depth and steepness, due to recess...
Minding impacting events in a model of stochastic variance
Heteroscedastic processes Fat-tail distributions Perpetual memory
2011/3/23
We introduce a generalisation of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in ...
Applying hedging strategies to estimate model risk and provision calculation
model risk uncertainty of volatility risk measure
2011/3/23
This paper introduces a new model risk measure based on hedging strategies to estimate model risk and provision calculation under uncertainty of volatility. This measure allows comparing different pro...
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/23
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
Bayesian estimation of GARCH model with an adaptive proposal density
Bayesian estimation GARCH model adaptive proposal density
2011/1/4
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In ...
Housing risk and return: Evidence from a housing asset-pricing model
asset pricing house price returns risk factors
2011/3/31
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) i...
A three dimensional stochastic Model for Claim Reserving
Solvency II Risk management Claim reserving
2010/10/21
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic...
About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model
Risk Management Pricing Portfolio Management Bonus Malus System
2010/10/21
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance d...
A simple model for asset price bubble formation and collapse
simple model asset price bubble formation and collapse
2010/10/21
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenome...
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can a...
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Quantum Portfolios Observables Neutral Valuation Model
2010/10/19
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral...
Pricing in an equilibrium based model for a large investor
large investor liquidity utility optimization equilibrium
2010/10/21
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting pric...