搜索结果: 1-3 共查到“货币银行学 Factor”相关记录3条 . 查询时间(0.138 秒)
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...
Factor demand modelling: the theory and the practice
factor demand aexible functional forms error correction model cointegration
2014/6/24
Since the work of Cobb and Douglas [18], two main innovations have been introduced in applied factor demand analysis, i.e. the use of áexible functional forms and the modelling of dynamics, expectatio...