搜索结果: 1-9 共查到“数量经济学 continuous-time”相关记录9条 . 查询时间(0.046 秒)
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Potentially complete market Continuous-time financial market Radner equilibrium It坥 diffusion
2012/9/14
We prove that in smooth Markovian continuous杢ime economies with potentially complete asset markets, Radner equilibria with endoge-nously complete markets exist.
Cone-Constrained Continuous-Time Markowitz Problems
Markowitz problem cone constraints portfolio selection mean-variancehedging stochastic control semimartingales BSDEs martingale optimality principle opportunity process E-martingales linear-quadratic control
2012/9/14
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We
study this in continuous time in a gener...
Variance Optimal Hedging for continuous time processes with independent increments and applications
Variance Optimal continuous time processes independent increments applications
2010/11/3
Variance Optimal Hedging for continuous time processes with independent increments and applications.
Saddlepoint approximations for continuous-time Markov processes
Transition density Infinitesimal generator Characteristic function Closed-form approximation
2014/3/13
This paper proposes saddlepoint expansions as a means to generate closed-form approximations to the transition densities and cumulative distribution functions of Markov processes. This method is appli...
Estimating Continuous-Time Models Using Discretely Sampled Data
Continuous-Time Models Discretely Sampled Data
2014/3/13
Estimating Continuous-Time Models Using Discretely Sampled Data.
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Continuous-Time Process iin the Presence of Market Microstructure Noise
2014/3/13
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however,we show that the optimal sampl...
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
The Effects of Random Discrete Sampling Estimating Continuous-Time Diffusions
2014/3/13
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions.
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
Discrete Data the Underlying Continuous-Time Model a Diffusion
2014/3/13
Can discretely sampled financial data help us decide which continuous-time models are sensible? Diffusion processes are characterized by the continuity of their sample paths. This cannot be verified f...