搜索结果: 46-60 共查到“价格学原理”相关记录66条 . 查询时间(2.862 秒)
货币供应量与物价稳定关系的实证研究
物价 货币供应量
2009/2/13
2008年2月，居民消费价格指数CPI达到8.7%，为十多年来最高。至此，我国的居民消费价格指数已经连续12个月超过央行制定的3%的警戒线，宏观经济形势相当严峻。金融宏观调控政策对内面临经济增长速度偏快、固定资产投资偏快、货币信贷增长偏快、CPI持续上升的问题，对外面临国际收支顺差过大、人民币不断升值。总体说来，流动性过剩和通货膨胀压力是当前宏观调控政策关注的焦点。因此2007年的中央...
生活就是人的一切生命活动。 这样来定义人的生活，就连人的生理活动、心理活动也属于生活了。生理活动，如皮肤的出汗，如体内的白血球吞噬细菌，也是生活吗？反过来再问的话，生理活动不在生命当中吗，生命是在生活之外吗？如此看来，还是应当说任何活动都属于生活，只不过这些活动各有不同的叫法而已。 在语言习惯上，通常是这样来运用生活一词，例如这样一段话：“的确，我们在生活和学习当中，认识了很多东西，这也就是我...
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Volatility forecasts at-the-money implied relation
2010/10/29
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...
Robust pricing and hedging of double no-touch options
Robust pricing double no-touch options
2010/10/29
Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establis...
Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
Black–Scholes option pricing adaptive nonlinear Schr¨odinger equation
2010/11/2
A nonlinear wave alternative for the standard Black–Scholes option–pricing model is
presented. The adaptive-wave model, representing controlled Brownian behavior of financial
markets, is formally de...
We apply a quadratic hedging scheme developed by Follmer, Schweizer, and Sondermann to
European contingent products whose underlying asset is modeled using a GARCH process and show
that local risk-...
Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
newsvendor problem price of anarchy convex optimization inequalities geometric interpretation
2010/11/1
Price of anarchy, the performance ratio, which could characterize the loss of efficiency of the distributed supply chain management compared with the integrated supply chain management
is discussed b...
State price density estimation via nonparametric mixtures
Black–Scholes equation European call options nonparametric mixture state price density
2010/11/2
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems,we only observe option prices and their corresponding strike pri...
The premium of dynamic trading
Continuous time portfolio selection mean–variance efficiency Sharperatio
2010/11/1
It is well established that in a market with inclusion of a risk-free asset the singleperiod
mean–variance efficient frontier is a straight line tangent to the risky region, a
fact that is the very ...
On Asymptotic Power Utility-Based Pricing and Hedging
Utility-based pricing and hedging incomplete markets mean-variance hedging numeraire semimartingale characteristics
2010/11/3
Kramkov and Sîrbu [24, 25] have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving amean-variance hedging problem under a speci...
This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the
spirit of the Fu...
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.
On the Existence of Consistent Price Systems
Consistent pricing systems No-arbitrage Transaction costs Full support, Conditional
2010/11/3
In [8], a sufficient condition for the existence of consistent price systems (CPSs) was given. In this note, we give a weaker sufficient condition for a CPS to exist. We use this condition
to show th...
Efficient swaptions price in Hull-White one factor model
Efficient swaptions price factor model
2010/10/29
The Hull-White one factor model is used to price interest rate options. The parameters
of the model are often calibrated to simple liquid instruments, in particular European
swaptions. It is therefo...