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Post-Kyoto Global Emissions Trading: Perspectives for Linking National Emissions Trading Schemes with the EU ETS in a Bottom-Up Approach
Post-Kyoto Emissions Trading Schemes Bottom-Up Linking
2013/2/25
The analysis at hand constitutes a legal, institutional and in particular qualitatively economic assessment of a global climate change policy architecture evolving from the linkage of the European Emi...
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...
Optimal simulation schemes for Levy driven stochastic differential equations
Levy-driven stochastic differential equations high order discretization schemes weak approximation regular variation
2012/4/28
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by L\'evy processes with infinite activity. These schemes combine a compound Poisson a...
Quantifying mortality risk in small defined-benefit pension schemes
Small de ned-bene t pension scheme mortality risk idiosyncratic risk systematic risk Euler capital allocation principle stochastic mortality coecient of variation
2011/7/19
A risk of small de ned-bene t pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to e ectively pool mortality risk. This mea...
Exact and high order discretization schemes for Wishart processes and their affine extensions
Wishart processes affine processes exact simulation
2010/10/21
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use co...
On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes
Degenerate parabolic equations financial derivatives
2010/10/18
Semi-elliptic stochastic differential equations (SDEs) are common models among practitioners. However, value functions and sensitivities of such models are described by degenerate parabolic partial d...
Market behavior and performance of different strategy evaluation schemes
Market behavior and performance strategy evaluation schemes
2010/10/18
Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates ...
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...
APEC Holds First Investment Schemes and Hedge Funds Seminar in Beijing
investment systems financial markets
2007/3/30
26 March 2007，BEIJING - About 40 securities regulators from around Asia and the Pacific are gathering here to share knowledge about collective investment schemes and hedge funds.Many financial markets...