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Two Models of Stochastic Loss Given Default
Two Models of Stochastic Loss Risk Management Pricing of Securities
2012/6/5
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a...
Optimal retirement consumption with a stochastic force of mortality
lifecycle consumption stochastic mortality survival curve matching JEL codes
2012/6/4
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being determin...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula Stochastic Recovery Bottom-up Top-down
2010/4/28
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models t...
Fractional processes as models in stochastic finance
Fractional Brownian motion arbitrage hedging in fractional models approximation of geometric fractional Brownian motion
2010/4/28
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and...
Asymptotic analysis for stochastic volatility: Edgeworth expansion
stochastic volatility Edgeworth expansion European option prices
2010/4/28
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...