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A Summary of the Empirical and Analytical Results and the Implications for International Monetary Policy
Analytical Results International Monetary Policy
2015/8/4
A Summary of the Empirical and Analytical Results and the Implications for International Monetary Policy.
Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics
Mathematical Methods Economics
2015/5/13
Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics.
COORDINATION OF MONETARY AND FISCAL POLICY IN A MONETARY UNION: POLICY ISSUES AND ANALYTICAL MODELS
European Monetary Union monetary and fiscal policy new neoclassical synthesis (NNS) models policy coordination
2011/8/21
The European Monetary Union raises new and interesting questions about the coordination of monetary and fiscal policy. In this lecture, I discuss some of these questions and the answers that a new cla...
Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
BSDE FBSDE Four Step Scheme Asymptotic Expansion Malliavin Derivative Non-linear PDE CVA
2011/7/4
In this work, we have presented a simple analytical approximation scheme for the
generic non-linear FBSDEs. By treating the interested system as the linear decoupled
FBSDE perturbed with non-linear ...
An Analytical Optimal Strategy of the Forest Asset Dynamic Management under Stochastic Timber Price and Growth: A Portfolio Approach
Forest Management Analytical Stochastic Price and Growth Portfolio Carbon Subsidies
2013/2/25
Considering the valuation of forest stands based on revenue from wood sales, concession policy (such as carbon sub- sidies) and associated costs, the paper focuses on the stochastic control model to s...
Equilibrium distributions in gas-like economic models: an analytical derivation
econophysics economic models molecular dynamics
2010/10/22
A step by step procedure to derive analytically the exact steady state probability density function of well known kinetic wealth exchange economic models is shown. This gives as a result an integro-d...
Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility
Analytical Numerical Pricing Path-Dependent Options Stochastic Volatility
2010/10/21
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. Fo...
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
Comparison of numerical and analytical approximations early exercise boundary American put option
2010/10/18
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American pu...
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfo...
Using Analytical Hierarchy Process in Decision Analysis - The Case of Vietnam State Securities Commission
Decision Analysis Analytical Hierarchy Process Benchmarking
2013/2/23
This paper uses Saaty’s Analytical Hierarchy Process (AHP) to formulate the strategy framework for Vietnam’s State Securities Commission (SSC). In the first step, a questionnaire was designed to find ...
On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes
Degenerate parabolic equations financial derivatives
2010/10/18
Semi-elliptic stochastic differential equations (SDEs) are common models among practitioners. However, value functions and sensitivities of such models are described by degenerate parabolic partial d...
Analytical Framework for Credit Portfolios. Part I: Systematic Risk
Analytical Framework Credit Portfolios Systematic Risk
2010/11/2
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfol...
An Analytical Approach To Detecting Insurance Fraud Using Logistic Regression
Insurance Fraud Prediction Logistic Regression
2010/10/18
Insurance companies typically employ a claims investigation unit to investigate fraudulent
activities. The investigation unit gathers supporting information to deny claims that are
fraudulent, or to...
Variance-covariance based risk allocation in credit portfolios: analytical approximation
Variance-covariance risk allocation nalytical approximation
2010/11/1
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with ...
Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
Spectral densities Analytical results Monte Carlo validation
2010/10/29
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, ...