搜索结果: 1-7 共查到“数量经济学 Value”相关记录7条 . 查询时间(0.171 秒)
The Value of Information in a Sealed Bid Auction
Value Information Sealed Bid Auction
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2015/7/21
The Value of Information in a Sealed Bid Auction.
Pricing credit default swaps with bilateral value adjustments
Pricing credit default swaps bilateral value adjustments
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2012/9/14
A three-dimensional extension of the structural default model with rms' values driven by correlated diusion processes is presented. Green's function based semi-analytical methods for solving the for...
A structural approach to pricing credit default swaps with credit and debt value adjustments
structural approach credit default credit and debt value adjustments
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2012/9/14
A multi-dimensional extension of the structural default model with rms' values driven by diusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods fo...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
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2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions
Degenerate elliptic and parabolic differential operators degenerate diffusion process Feller square root process Feynman-Kac formula
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2012/4/28
We prove stochastic representation formulae for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our artic...
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
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2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...
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
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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...