搜索结果: 1-15 共查到“经济学 derivative”相关记录19条 . 查询时间(0.156 秒)
Comparing American and European Regulation of Over-the- Counter Derivative Securities
Centralized Clearing Dodd-Frank EMIR OTC Derivatives Regulation
2016/1/27
This paper describes the major issues in the clearing of over-the-counter (OTC) derivatives and the current regulative initiatives aimed at removing the market opaqueness. The core of the paper is the...
重庆理工大学经济与贸易学院国际金融英文课件Chapter5 Interest Yields Interest-Rate Risk and Derivative Securities
重庆理工大学经济与贸易学院 国际金融 英文 课件 Chapter5 Interest Yields Interest-Rate Risk and Derivative Securities
2015/10/13
重庆理工大学经济与贸易学院国际金融英文课件Chapter5 Interest Yields Interest-Rate Risk and Derivative Securities。
Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
Stability of ADI schemes multidimensional diffusion equations mixed derivative terms Numerical Analysis
2012/6/5
In this paper the unconditional stability of four well-known ADI schemes is analyzed in the application to time-dependent multidimensional diffusion equations with mixed derivative terms. Necessary an...
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-...
Notice on the Issuance of "Guidance on the Supervision of Risk from Derivative Product Business Conducted by Foreign Banks (Trial)"
banking industry GOVERNMENT policy Banking Regulatory Commission
2011/9/26
The article discusses the promulgation of "Guidance on the Supervision of Risk from Derivative Product Business Conducted by Foreign Banks (Trial)" by the Banking Regulatory Commission in China. It is...
Provisional Measures on the Business Management of Derivative Product Transactions of Financial Institutions
provisional measures the management of transactions derivative products financial institutions
2011/9/24
The article discusses the provisional measures regarding the management of transactions for derivative products of financial institutions from the 55th Chairman's Meeting of the China Banking Regulato...
Derivative Markets in China: Guest Editors' Introduction
the establishment framework the regulations for financial derivatives markets
2011/9/24
The article focuses on the establishment and framework of the regulations for financial derivatives and its markets in China. It states that regulatory of derivatives covers national legislation, rule...
Efficiency and Equilibria in Games of Optimal Derivative Design
Adverse selection, Competing mechanisms, Delegation principle, Risk sharing, Pareto optimality
2011/7/19
In this paper the problem of optimal derivative design, pro t maximization and risk minimization
under adverse selection when multiple agencies compete for the business of a continuum of heterogenous...
The Early Exercise Boundary behavior at expiry for American style of derivative
The Early Exercise Boundary behavior American style derivative
2011/1/4
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of ...
We present an approach to derivative exposure management based on subjective and implied probabilities. We suggest to maximize the valuation difference subject to risk constraints and propose a class...
We present an approach to derivative exposure management based on subjective and implied probabilities. We suggest to maximize the valuation difference subject to risk constraints and propose a class ...
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
Financial crisis bubbles real estate derivatives out-of-equilibrium super-exponentia growth crashes complex systems
2010/11/1
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing ...
Illiquidity and Derivative Valuation
Stochastic dierential games illiquidity market impact derivative valuation
2010/10/29
In illiquid markets, option traders may have an incentive to increase their portfolio value
by using their impact on the dynamics of the underlying. We provide a mathematical framework
within which ...
Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts
Valuation Energy Multi-Asset Derivative Contracts
2010/12/13
We study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil prices at differe...
Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of $N$ caped (and pro...