منابع مشابه
Continuous time portfolio optimization
This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...
متن کاملContinuous-time and continuous-space process algebras
Quantitative methods seek to explore how a system evolves in the dimensions of space and time. The usual notion of space is a discrete one such as the reachable states of a high-level model, but others are possible, such as fluid models. The usual notion of time is a continuous one such as the average duration of activities, as used in stochastic processes governed by the exponential distributi...
متن کاملContinuous-time AR process parameter estimation from discrete-time data
The problem of estimating continuous-time autoregressive process parameters from discrete-time data is considered. The basic approach used here is based on replacing the derivatives in the model by discrete-time di erences, forming a linear regression and using the least squares method. It is known, however, that all standard approximations of the highest order derivative give a biased least sq...
متن کاملLévy flights from a continuous-time process.
Lévy flight dynamics can stem from simple random walks in a system whose operational time (number of steps n) typically grows superlinearly with physical time t. Thus this process is a kind of continuous-time random walk (CTRW), dual to the typical Scher-Montroll model, in which n grows sublinearly with t. Models in which Lévy flights emerge due to a temporal subordination allow one easily to d...
متن کاملAn exponential continuous time GARCH process
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity, mixing and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p, p) model.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Science Evolution
سال: 2017
ISSN: 2500-4239,2500-1418
DOI: 10.21603/2500-1418-2017-2-2-79-87