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A SIMPLE MODEL FOR ASSET PRICE BUBBLE FORMATION AND COLLAPSE
ASSET PRICE BUBBLE FORMATION COLLAPSE
2015/7/14
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 phenomen...
The Illustration For The Application Of Asset Share In Premium
premium asset share surplus profit cash flow table
2011/11/11
With a case of whole life insurance, on the base of the actuarial theory of life insurance, this paper accounts for the theoretical foundation of the pricing method of asset share, establishes an inta...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
Fundamental Theorem of Asset Pricing Hedging Problem Maximal claims Supermartingale
2011/3/2
This paper consists of two parts. In the first part, by building on the work of Jouini
and Kallal in [26], Sch¨urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
A simple model for asset price bubble formation and collapse
simple model asset price bubble formation collapse
2010/12/15
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 phenomen...
Asset returns and volatility clustering in financial time series
volatility clustering financial time series
2010/4/27
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control Poisson point processes HJBPIDE polic improvement PIDE parabolic PDE classical solutions viscosity solutions
2010/4/27
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
The ASSET intercomparison of stratosphere and lower mesosphere humidity analyses
ASSET intercomparison stratosphere lower mesosphere humidity analyses
2009/3/13
This paper presents results from the first detailed intercomparison of stratosphere-lower mesosphere water vapour analyses; it builds on earlier results from the EU funded framework V "Assimilation of...
The ASSET intercomparison of ozone analyses: method and first results
ASSET intercomparison ozone analyses
2009/1/21
This paper aims to summarise the current performance of ozone data assimilation (DA) systems, to show where they can be improved, and to quantify their errors. It examines 11 sets of ozone analyses fr...
This paper discusses the highlights of the EU-funded "Assimilation of Envisat data" (ASSET) project, which has involved assimilation of Envisat atmospheric constituent and temperature data into system...