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Large liquidity expansion of super-hedging costs
Super-replication liquidity viscosity solutions asymptotic expansions.
2012/9/14
We consider a nancial market with liquidity cost as in C etin, Jarrow and Protter[3] where the supply function S"(s;) depends on a parameter"0 withS0(s;) =s corresponding to the perfect liquid si...
Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach
interest rate models callable bonds options embedded in bonds optimal stopping stochastic games eigenfunction expansions option pricing stochastic time changes
2012/9/14
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versi...
Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
BSDE FBSDE Asymptotic Expansion Malliavin Derivative interacting particle method branching diffusion
2012/4/28
In this paper, we propose an efficient Monte Carlo implementation of non-linear FBSDEs as a system of interacting particles inspired by the ideas of branching diffusion method. It will be particularly...