搜索结果: 1-11 共查到“数理经济学 approach”相关记录11条 . 查询时间(0.093 秒)
Interlinkages and structural changes in cross-border liabilities: a network approach
Cross-border exposures interbank networks financial linkages debt shifting
2012/6/5
We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the ...
The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data on some liquid inter...
Maximum likelihood approach for several stochastic volatility models
Maximum likelihood approach several stochastic volatility models Computational Finance
2012/4/28
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method...
Model-independent Bounds for Option Prices: A Mass Transport Approach
Model-independent pricing Monge-Kantorovich transport problem option arbitrage
2011/7/4
In this paper we investigate model-independent bounds for exotic options written on a risky asset
using infinite-dimensional linear programming methods.
Using arguments from the theory of Monge-Kant...
Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
Time Series Covariance Estimation Regularization Sparsity Thresholding Semiparametrics Graphical Model Variable Clustering
2011/7/5
To better understand the spatial structure of large panels of economic and nancial time
series and provide a guideline for constructing semiparametric models, this paper rst consid-
ers estimating...
Geometric Allocation Approach for Transition Kernel of Markov Chain
Markov chain Transition kernel Geometric allocation Detailed balance Reversibility
2011/7/5
We introduce a new geometric approach that constructs a
transition kernel of Markov chain. Our method always minimizes the av-
erage rejection rate and even reduce it to zero in many relevant cases,...
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
Stochastic optimal control non-Markovian SDE second order BSDE G-expectation random G-expectation volatility uncertainty risk measure
2011/7/5
We study stochastic differential equations (SDEs) whose drift and
diffusion coefficients are path-dependent and controlled. We construct
a value process on the canonical path space, considered simul...
Optimal split of orders across liquidity pools: a stochastic algorithm approach
Asset allocation Stochastic Lagrangian algorithm reinforcement principle monotone dynamic system
2010/11/2
Evolutions of the trading landscape lead to the capability to exchange the same financial
instrument on different venues. Because of liquidity issues, the trading firms split large orders across seve...
Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
econophysics stock-exchange markets financial risk informatinal fascicle
2010/11/1
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of
the risks in financial markets. For this purpose, the thermodynamical methods and
statistical physics resul...
A Bayesian Networks Approach to Operational Risk
Operational Risk Complex Systems Bayesian Networks Time Series Value-at-Risk
2010/11/1
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using...
A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
aggregation of risks Value at Risk dependent risks risk management
2010/11/3
We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and which avoids the us...