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Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give par-
ticipation in the performance of a risky asset while protecting the invested capital. This protection is...
Homogeneous Volatility Bridge Estimators
volatility variance estimators efficiency Wiener processes homoge-neous functions
2010/11/3
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, h...
In this paper we introduce a simple continuous-time asset pricing framework, based on general multidimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification f...
Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
transaction costs invariant reductions exact solutions singular perturbation
2010/11/2
Families of exact solutions are found to a nonlinear modification of the Black-Scholes equation. This risk-adjusted pricing methodology model (RAPM) incorporates both transaction costs and the risk fr...
下游制造商R&D存在溢出效应时供应商的价格策略研究
渠道协作 成本节约型R&D 领导者—追随者博弈 R&D溢出效应
2009/10/16
针对供应链R&D投资套牢问题,以博弈论为工具,在一个两层供应链系统中,研究下游制造商从事成本节约型R&D时上游供应商的批发价格策略。主要考虑了供应商在保持批发价格灵活性和承诺批发价格下制造商的创新投资以及产量决策。研究表明,无论溢出水平多大,供应商承诺批发价格都会导致制造商R&D投资和产品产量的增加,但无论在哪种价格策略下,制造商的R&D投资和产品产量都是溢出水平的减函数。
价格连续型局内设备赁购问题的竞争分析
局内问题 竞争策略 竞争比 设备赁购
2009/9/27
基于局内算法分析领域中的On2line Ski 问题,提出了局内设备赁购决策问题. 建立了价格连续型
的该问题的数学模型,针对购价恒定的情形和一般情形分别设计了B 价赁购策略和赁购平衡策略
(Renting2Buying Balance Strategy) ,给出了相应的竞争比,并进行了理论证明. 得到了价格连续型问题的竞
争比下限,并给出理论证明. 讨论了所得结果在现实经济管理活动中的应用...
Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
Superstatistical fluctuations dynamics turbulence
2010/10/29
We report a general technique to study a given experimental time series with superstatistics.
Crucial for the applicability of the superstatistics concept is the existence of a parameter β that fluct...
The scale of market quakes
Financial Markets Currency markets Market Activity Market Impact
2010/11/2
We define a methodology to quantify market activity on a 24 hour basis by defining a scale, the so-called scale of market quakes (SMQ). The SMQ is designed within a framework where we analyse the dyna...
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
Bermudan options Nonparametric regression Boundary condition；Suboptimal stopping rule
2010/11/1
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopp...
Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
Liquidity Crisis Granularity of the Order Book Price Fluctuations
2010/10/29
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity g) as...
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Pricing Asian Basket Options Quasi-Monte Carlo Simulations
2010/11/1
In this article we consider the problem of pricing and hedging high-dimensional
Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities...
Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
Crude Oil Future Price ANN Prediction Models
2010/11/1
This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal
of attention was paid on ...
We propose the development of a prediction market for forecasting prices for “toxic assets” to be transferred from Irish banks to the National Asset Management Agency (NAMA). Such a market allows mark...
Price Impact
Price Impact
2010/10/29
Price impact refers to the correlation between an incoming order (to buy or to sell) and the subsequent price change. That a buy trade should push the price up seems at first sight obvious and is easi...
益分配定律及决定价格的四大机制
价格 利益分配定律
2009/3/2
经济学的一个惯病就是独占思想，这样某学派揭示出一个决定价格的原理后，就将这个原理的决定作用进行乘数放大，以至于说明范畴远远突破原理的基本框架。这种情形在马克思理论中要好一些，因为他明确的理论是说明一般情况，供求是在一般基础上使价格波动。应该说这是一个不错的建议，但是西方经济学不接受这种妥协，他们认为价格只由供求决定。这种意识形态上的对立态度该在学术中结束了，我们应该清楚一门学问不会只有一个部分，而...