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Randomised Mixture Models for Pricing Kernels
Pricing kernel asset pricing, interest rate modelling yield curve randomised mixtures Lévy processes Esscher martingales weighted heat kernel Markov processes
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2011/12/28
Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and environmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial m...
Kinetic models for wealth exchange on directed networks
Wealth distribution Pareto law kinetic theory asset exchange models networks
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2010/10/29
We propose some kinetic models of wealth exchange and investigate their behavior on directed
networks though numerical simulations. We observe that network topology and directedness yields
a variety...