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The Guanghua School of Management and Center for Statistical Science, Peking University are pleased to announce that the 13th International Symposium on Econometric Theory and Applications (SETA 2017)...
Good News and Bad News: Representation Theorems and Applications.
We give conditions under which the normalized marginal distri-bution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions o...
In this paper the complex systems are discussed from the business and economics point of view. It will be showed and motivated that social systems are typically chaotic and/or non-linear and therefore...
In this paper, we follow the study of second order BSDEs with jumps started in our accompanying paper [17]. We prove existence of these equations bya direct method,thus providing complete wellposednes...
The paper presents instructive interdisciplinary applications of con- strained mechanics calculus in economics on a level appropriate for the undergraduate physics education.
We discuss utility based pricing and hedging of jump di usion pro- cesses with emphasis on the practical applicability of the framework. We point out two diculties that seem to limit this applicabi...
Abstract: Recent work of Dupire (2005) and Carr & Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedgin...
In [6] for c > 0 we defined truncated variation, T V c μ , of Brownian motion with drift, Wt = Bt+μt, t  0, where (Bt) is a standard Brownian motion.
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk.The equations are driven by Brownian motion as well as a ...

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