搜索结果: 1-11 共查到“金融市场 modeling”相关记录11条 . 查询时间(0.175 秒)
From a macroeconomic perspective, the shortterm interest rate is a policy instrument under
the direct control of the central bank, which
adjusts the rate to achieve its economic stabilzation goals. ...
Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?
Quantitative finance dynamic portfolio management strategy time series trends volatility,
2011/7/22
A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calcul...
We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk cannot be ensured sim...
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...
Credit risk modeling using time-changed Brownian motion
Credit risk structural credit model time change L´ evy process first passage time default probability credit derivative
2010/11/1
Motivated by the interplay between structural and reduced form credit models, we propose
to model the firm value process as a time-changed Brownian motion that may include
jumps and stochastic volat...
The correctness of Harrod’s model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips’ model, an ap...
Numéraire-invariant preferences in financial modeling
Numéraire-invariant preferences financial modeling
2010/10/29
We provide an axiomatic foundation for the representation of num´eraire-invariant pref-
erences of economic agents acting in a financial market. In a static environment, the simple axioms turn ...
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Modeling the non-Markovian financial markets
2010/11/2
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several nat...
Stock market integration in the Latin American markets: further evidence from nonlinear modeling
Stock market integration Latin American marketsp nonlinear modeling
2010/11/1
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2...
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 ...
Dynamic operational risk: modeling dependence and combining different sources of information
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 ...