Essays In Continuous Time Financial Theory
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Essays In Continuous Time Financial Theory
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Author : Mark Douglas Schroder
language : en
Publisher:
Release Date : 1995
Essays In Continuous Time Financial Theory written by Mark Douglas Schroder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Theory And Reality In Financial Economics
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Author : George M. Frankfurter
language : en
Publisher: World Scientific
Release Date : 2007
Theory And Reality In Financial Economics written by George M. Frankfurter and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.
Stochastic Analysis And Applications To Finance
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Author : Tusheng Zhang
language : en
Publisher: World Scientific
Release Date : 2012
Stochastic Analysis And Applications To Finance written by Tusheng Zhang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory. It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance. Sample Chapter(s). Editorial Foreword (58 KB). Chapter 1: Non-Linear Evolution Equations Driven by Rough Paths (399 KB). Contents: Non-Linear Evolution Equations Driven by Rough Paths (Thomas Cass, Zhongmin Qian and Jan Tudor); Optimal Stopping Times with Different Information Levels and with Time Uncertainty (Arijit Chakrabarty and Xin Guo); Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs (Yingshan Chen, Min Dai and Kun Zhao); MUniform Integrability of Exponential Martingales and Spectral Bounds of Non-Local Feynman-Kac Semigroups (Zhen-Qing Chen); Continuous-Time Mean-Variance Portfolio Selection with Finite Transactions (Xiangyu Cui, Jianjun Gao and Duan Li); Quantifying Model Uncertainties in the Space of Probability Measures (J Duan, T Gao and G He); A PDE Approach to Multivariate Risk Theory (Robert J Elliott, Tak Kuen Siu and Hailiang Yang); Stochastic Analysis on Loop Groups (Shizan Fang); Existence and Stability of Measure Solutions for BSDE with Generators of Quadratic Growth (Alexander Fromm, Peter Imkeller and Jianing Zhang); Convex Capital Requirements for Large Portfolios (Hans FAllmer and Thomas Knispel); The Mixed Equilibrium of Insider Trading in the Market with Rational Expected Price (Fuzhou Gong and Hong Liu); Some Results on Backward Stochastic Differential Equations Driven by Fractional Brownian Motions (Yaozhong Hu, Daniel Ocone and Jian Song); Potential Theory of Subordinate Brownian Motions Revisited (Panki Kim, Renming Song and Zoran Vondraiek); Research on Social Causes of the Financial Crisis (Steven Kou); Wick Formulas and Inequalities for the Quaternion Gaussian and -Permanental Variables (Wenbo V Li and Ang Wei); Further Study on Web Markov Skeleton Processes (Yuting Liu, Zhi-Ming Ma and Chuan Zhou); MLE of Parameters in the Drifted Brownian Motion and Its Error (Lemee Nakamura and Weian Zheng); Optimal Partial Information Control of SPDEs with Delay and Time-Advanced Backward SPDEs (Bernt yksendal, Agn s Sulem and Tusheng Zhang); Simulation of Diversified Portfolios in Continuous Financial Markets (Eckhard Platen and Renata Rendek); Coupling and Applications (Feng-Yu Wang); SDEs and a Generalised Burgers Equation (Jiang-Lun Wu and Wei Yang); Mean-Variance Hedging in the Discontinuous Case (Jianming Xia). Readership: Graduates and researchers in stochatic analysis and mathematical finance.
Essays In Continuous Time Finance
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Author : Scott Phillip Mason
language : en
Publisher:
Release Date : 1979
Essays In Continuous Time Finance written by Scott Phillip Mason and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Finance categories.
Three Essays On Continuous Time Finance
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Author : Hua Tang
language : en
Publisher:
Release Date : 2001
Three Essays On Continuous Time Finance written by Hua Tang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Three Essays On Continuous Time Finance
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Author : William Fallon
language : en
Publisher:
Release Date : 1996
Three Essays On Continuous Time Finance written by William Fallon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Three Essays On Continuous Time Diffusion Models
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Author : Seungmoon Choi
language : en
Publisher:
Release Date : 2005
Three Essays On Continuous Time Diffusion Models written by Seungmoon Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Three Econometric Essays On Continuous Time Models
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Author : Xiaohu Wang
language : en
Publisher:
Release Date : 2012
Three Econometric Essays On Continuous Time Models written by Xiaohu Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Asymptotic distribution (Probability theory) categories.
"Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. The chapter 2 introduces a framework for discretizing linear multivariate continuous time systems that includes the commonly used Euler and trapezoidal approximations as special cases and leads to a general class of estimators for the mean reversion matrix. Asymptotic distributions and bias in both multivariate and in univariate settings. In the univariate context, we compare the performance of the two approximation methods relative to exact maximum likelihood (ML) in terms of bias and variance for the Vasicek process. The bias and the variance of the Euler method are found to be smaller than the trapezoidal method, which are in turn smaller than those of exact ML. Simulations suggest that for plausible parameter settings the approximation methods work better than ML, the bias formulae are accurate, and the Euler method outperforms the Nowman method in terms of both bias and variance. Simulation evidence indicates that the Euler method has smaller bias and variance than exact ML, Nowman's method and the Milstein method. The Chapter 3 examines the asymptotic properties of the maximum likelihood (ML) estimate of the mean reversion matrix that is obtained from the corresponding exact discrete model. Both the consistency and the asymptotic distribution are derived in the cases of stationarity and non-stationarity . Special attention is paid to the explicit expressions for the asymptotic covariance matrix, especially in low dimensional cases. This limit theory is facilitated by a new formula for the mapping from the discrete to the continuous system coefficients and its derivatives. An empirical application is conducted on daily realized volatility data on Pound, Euro and Yen exchange rates, illustrating the implementation of the theory. Recently, with the coming of the financial crisis, the interest of using explosive process to model asset bubbles has been growing tremendously. This underlies the importance of statistic properties of the explosive process. The Chapter 4 develops a double asymptotic limit theory for the persistent parameter (k) in explosive continuous time models driven by Levy processes with a large number of time span (N) and a small number of sampling interval (h). The simultaneous double asymptotic theory is derived using a technique in the same spirit as in Phillips and Magdalinos (2007) for the mildly explosive discrete time model. Both the intercept term and the initial condition appear in the limiting distribution. In the special case of explosive continuous time models driven by the Brownian motion, we develop the limit theory that allows for the joint limits where N 2 and h 2 0 simultaneously, the sequential limits N 2 is followed by h 2 0, and the sequential limits where h 2 0 is followed by N 2 . All three asymptotic distributions are the same."--Author's abstract.
Continuous Time Finance
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Author : Robert C. Merton
language : en
Publisher: Wiley-Blackwell
Release Date : 1992-11-03
Continuous Time Finance written by Robert C. Merton and has been published by Wiley-Blackwell this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-11-03 with Business & Economics categories.
Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.
Essays On Asset Pricing In Continuous Time
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Author : John Hatgioannides
language : en
Publisher:
Release Date : 1996
Essays On Asset Pricing In Continuous Time written by John Hatgioannides and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.