搜索结果: 1-6 共查到“货币银行学 Continuous Time”相关记录6条 . 查询时间(0.077 秒)
Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
Exit times in non-Markovian drifting continuous-time random walk processes
non-Markovian drifting continuous-time random walk processes
2010/10/18
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it d...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives shortrate
2010/10/19
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be de...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...
Mutual Fund Theorem for continuous time markets with random coefficients
optimal portfolio Mutual Fund Theorem continuous time market models
2010/11/2
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are ass...
Continuous-Time Markowitz's Model with Transaction Costs
continuous time mean-variance transaction costs singular stochastic control planning horizon
2010/11/1
A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market
with one stock, one bond, and proportional transaction costs. This is a singular stochastic control prob...