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We analyze the impact of the sampling interval on the estimation of Kramers-Moyal coefficients. We obtain the finite-time expressions of these coefficients for several standard processes. We also ana...
On detecting the dependence of time series
serial dependence non-parametric methods technical analysis
2010/10/22
This short note suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak and such that the traditional metho...
Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity value function exit time
2010/10/21
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism...
Are large complex economic systems unstable ?
complex economic systems classical economic theory
2010/10/21
Although classical economic theory is based on the concept of stable equilibrium, real economic systems appear to be always out of equilibrium. Indeed, they share many of the dynamical features of ot...
On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
numerical approximation construction nonlinear Black-Scholes equations
2010/10/21
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method h...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
Adaptive Expectations, Confirmatory Bias, and Informational Efficiency
informational efficiency confirmatory bias agent-based models
2010/10/21
We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, ...
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/10/21
The pricing of exotic options in exponential L\'evy models amounts to the computation of expectations of functionals of the whole path of a L\'evy process. In many situations, Monte-Carlo methods are ...
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
Exponential L´ evy model Lookback option Continuity correction
2010/10/21
Motivated by the pricing of lookback options in exponential L\'evy models, we study the difference between the continuous and discrete supremum of L\'evy processes. In particular, we extend the result...
On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study
Savety Loading Chain Ladder Estimates Monte Carlo Simulation Study
2010/10/21
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...
A contribution to the systematics of stochastic volatility models
fluctuations econophysics stochastic differential equations
2010/10/21
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail,...
建立国内生产总值与居民消费支出有关形式变量的向量自回归模型和误差修正模型,依据国内生产总值和居民消费支出的历史数据分别对模型进行估计,并利用估计好的2个模型对近2年的相应变量进行预测,将预测结果与实际数据相比较,从而得出2 个模型的预测效果.通过比较显示:误差修正模型预测效果优于向量自回归模型.
改革开放创伟业，科学发展再争先。深圳经济特区建立３０周年庆祝大会2010年9月６日上午在广东深圳隆重举行。中共中央总书记、国家主席、中央军委主席胡锦涛出席庆祝大会并发表重要讲话（讲话全文见第二版）。他强调，面对错综复杂的国际形势，面对艰巨繁重的改革发展稳定任务，我们要胜利实现既定战略目标，必须坚定不移坚持中国特色社会主义道路，坚定不移坚持中国特色社会主义理论体系，勇于变革、勇于创新，永不僵化、永不...
Penalty Decomposition Methods for Rank Minimization
rank minimization penalty decomposition methods matrix completion
2010/10/21
In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first show that a class of matrix optimization problems can be solved a...