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第十三届计量经济学理论与应用国际会议（13th International Symposium on Econometric Theory and Applications）
第十三届 计量经济学 理论与应用 国际会议
2017/1/20
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
Good News Bad News Theorems and Applications
2015/7/21
Good News and Bad News: Representation Theorems and Applications.
Small time central limit theorems for semimartingales with applications
Small time central limit theorems semimartingale applications
2012/9/17
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...
Applications of Complex Systems in Business and Economy
Applications Complex Systems Business and Economy
2012/9/14
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...
Second Order BSDEs with Jumps, Part II: Existence and Applications
Second order backward stochastic differential equation backward stochas-tic differential equation with jumps
2012/9/14
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...
Applications of a constrained mechanics methodology in economics
economics constrained mechanics methodology vakonomic approaches
2011/7/5
The paper presents instructive interdisciplinary applications of con-
strained mechanics calculus in economics on a level appropriate for the undergraduate
physics education.
Utility based pricing and hedging of jump diffusion processes with a view to applications
pricing hedging of jump diffusion processes marginal optimal hedge
2011/7/4
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...
Root's Barrier: Construction, Optimality and Applications to Variance Options
Construction Optimality Applications Variance Options Pricing of Securities
2011/7/25
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...
Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications
Truncated Variation Brownian Motion Applications
2010/11/3
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.
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.
BSDEs with random default time and their applications to default risk
Backward stochastic differential equation Random default time Comparison theorem Zero-sum stochastic differential game
2010/11/2
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 ...