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1.
The relationship between futures and spot is still
an important issue in academic communities and supervisory departments. In
this paper, the Granger Causality Test is extended into quantile regression
and then the relationship between futures and spot is investigated at
different quantile positions. Note that under the model with differential
data, different quantile positions are related to the corresponding financial
environments. Consequently, a market-dependent casuality between futures and
spot is established, by which we can study the relationship more deeply and
comprehensively. The main points of view obtained in this paper are what
follows: 1. The relationship between futures and spot is strongly related
to the financial environments, besides the features of futures and spot;
2. Under the normal and stable financial markets, there is casuality one
another, but the relationship will be abnormal under extremal financial
conditions, the common relationship between futures and spot is masked by
other financial factors; 3. If the casuality was seen as a normal fact
logically, then the abnormal relationship should indicate a bad or extremal
financial environment, which provides supervisory departments with a warning
signal. 相似文献
2.
In this paper, we establish the option pricing model under sub-fractional Brownian motion, and consider the situation of the continuous dividend payments. Firstly, Wick-It\^{o} integral and partial differential method are used to get the option price of partial differential equation, and then through variable substitution into Cauchy problem, we can get the pricing formula of European call option with dividend-paying in sub-fractional Brownian motion environment.
According to the pricing formula of European call option, the European put option pricing formula is obtained. Moreover, we study the parameter estimation in the model, and consider the unbiasedness and the strong convergence of the estimator. 相似文献
3.
设备的平均寿命是可靠性研究中的的一个重要指标.对威布尔分布来说, 由于平均寿命没有明显的枢轴量,因此给出平均寿命的精确的置信限较为困难.本文分别利用广义枢轴量、WCF展开以及三阶法三种方法,得到了设备寿命服从威布尔分布时的平均寿命的(近似)置信下限.最后对上述三种方法分别进行了模拟比较,结果显示文中给出的方法对于中小样本情形下得到的平均寿命的置信限是比较精确的. 相似文献
4.
Let, be two independent,
-dimensional sub-fractional Brownian motions with respective indices.
Assume. Our principal results are the necessary and sufficient condition for the
existence and smoothness of the collision local time and the intersection local time of
and through chaos expansion and elementary inequalities. 相似文献
-dimensional sub-fractional Brownian motions with respective indices.
Assume. Our principal results are the necessary and sufficient condition for the
existence and smoothness of the collision local time and the intersection local time of
and through chaos expansion and elementary inequalities. 相似文献
5.
??In this paper we consider a class of fractional stochastic partial differential equation driven by fractional noise. We prove that the solution admits a smooth density at any fixed point (t,x)\in[0,T]\times\mathbb{R} with T>0 by using the techniques of Malliavin calculus. 相似文献
6.
This paper investigates the pricing of CatEPuts under
a Markovian regime-switching jump-diffusion model. The parameters of this model,
including the risk-free interest rate, the appreciation rate and the volatility
of the clients' equity, are modulated by a continuous-time, finite-state, observable
Markov chain. An equivalent martingale measure is selected by employing the
regime-switching Esscher transform. The fast Fourier transform (FFT) technique
is applied to price the CatEPuts. In a two-state Markov chain case, numerical
example is presented to illustrate the practical implementation of the model. 相似文献
7.
??In this paper, we investigate a robust optimal portfolio and
reinsurance problem under inflation risk for an ambiguity-averse insurer (AAI), who worries
about uncertainty in model parameters. We assume that the AAI is allowed to purchase
proportional reinsurance and invest his/her wealth in a financial market which consists of
a risk-free asset and a risky asset. The objective of the AAI is to maximize the minimal
expected power utility of terminal wealth. By using techniques of stochastic control theory,
closed-form expressions for the value function and optimal strategies are obtained. 相似文献
8.
??This paper investigates the test of significance for the binary
choice model with stochastic trend process. The results show that when the true parameter
vector is zero, the limiting distribution of the t statistic follows standard normal
distribution. The joint significance test statistics Wald, LM and LR are asymptotically
equivalent and have a Chi-square limiting distribution. 相似文献
9.
10.
A Markov observation model with dividend is defined and the interpretation of the practical significance is given. We try to use an irreducible and homogeneous discrete-time Markov chain to modulate the inter-observation times and embed a dividend strategy. In the Markov observation model with dividend, a system of liner equations for the expected discounted value of dividends until ruin time is derived. Moreover, an explicit expression is obtained and proved. Finally, some interesting properties are illustrated by numerical analysis and by comparing with the complete compound binomial model with dividend. 相似文献
11.
Lusternik–Schnirelmann category of a manifold gives a lower bound of the number of critical points of a differentiable map
on it. The purpose of this paper is to show how to construct cone-decompositions of manifolds by using functions of class
C
1 and their gradient flows, where cone-decompositions are used to give an upper bound for the Lusternik–Schnirelmann category
which is a homotopy invariant of a topological space. In particular, the Morse–Bott functions on the Stiefel manifolds considered
by Frankel (1965) are effectively used to construct the conedecompositions of Stiefel manifolds and symmetric Riemannian spaces to determine
their Lusternik–Schnirelmann categories. 相似文献
12.
Paul W. Y. Lee Robert J. McCann 《Calculus of Variations and Partial Differential Equations》2011,41(1-2):285-299
The Ma?CTrudinger?CWang curvature??or cross-curvature??is an object arising in the regularity theory of optimal transportation. If the transportation cost is derived from a Hamiltonian action, we show its cross-curvature can be expressed in terms of the associated Jacobi fields. Using this expression, we show the least action corresponding to a harmonic oscillator has zero cross-curvature, and in particular satisfies the necessary and sufficient condition (A3w) for the continuity of optimal maps. We go on to study gentle perturbations of the free action by a potential, and deduce conditions on the potential which guarantee either that the corresponding cost satisfies the more restrictive condition (A3s) of Ma, Trudinger and Wang, or in some cases has positive cross-curvature. In particular, the quartic potential of the anharmonic oscillator satisfies (A3s) in the perturbative regime. 相似文献
13.
In this paper, we give both lower and upper bound estimates of the Bergman kernel for a degeneration of Riemann surfaces with
constant curvature −1. As a result, we give a geometric proof of the Riemann–Rock theorem for a singular Riemann surface. 相似文献
14.
This paper considers a dividend strategy with investment in
Omega model. If at a potential dividend-payment time the surplus is above, part
of the excess are paid as dividends directly, the other part are used as dynamic
investment capital, at a particular time, the sum of profits and investment capital
will be paid as another dividend. Under this dividend policy, we get the optimal
dividend strategy and the optimal portfolio policy. 相似文献
15.
Tomasz Szarek 《Acta Mathematica Hungarica》2011,131(1-2):59-109
We investigate g-functions based on semigroups related to multi-dimensional Laguerre function expansions of convolution type. We prove that these operators can be viewed as Calderón?CZygmund operators in the sense of the underlying space of homogeneous type, hence their mapping properties follow from the general theory. 相似文献
16.
??We develop a deposit insurance pricing model that explicitly considers regulatory capital and bankruptcy costs. Based on the pricing deposit insurance model, we calculate the deposit insurance premiums of China's 16 listed banks with time span of 2011 to 2017 in this paper. The results demonstrate that the deposit insurance premiums of state-owned banks is lower than joint-stock commercial banks and city commercial banks, however, the deposit insurance premiums of joint-stock commercial banks is higher than city commercial banks. Numerical simulation shows that, ceteris paribus, the value of deposit insurance decreases with regulatory capital ratios and the insured deposits ratios, but it increases with interest rate and bankruptcy costs. 相似文献
17.
首先, 当$Q$是一个拟单调的q矩阵的时候,
我们找出最小的$Q$函数是一个Feller的转移函数的准则.
然后我们把这个结论应用于生成分支q矩阵并得到相应的生成分支过程的Feller准则.
特别地, 设$\theta$是分支q矩阵中的非线性数,
总是存在一个分点$\theta_0$满足$1\leq\theta_0\leq2$或$\theta_0<+\infty$使得
生成分支过程是否是Feller的要依据$\theta<\theta_0$或者$\theta>\theta_0$. 相似文献
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