Results 21 to 30 of about 156,174 (110)
Master’s Program in Money and Finance (MMF) [PDF]
, 2010 The Master’s program in Money and Finance (MMF) is an innovative joint venture of the Department of Money and Macroeconomics and of the Department of Finance, both located in the new House of Finance.
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A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles
, 2002 Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise.
Adam M. C. +9 more
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Dirac Processes and Default Risk
, 2015 We introduce Dirac processes, using Dirac delta functions, for short-rate-type pricing of financial derivatives. Dirac processes add spikes to the existing building blocks of diffusions and jumps. Dirac processes are Generalized Processes, which have not
Green, Andrew, Kenyon, Chris
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Model uncertainty and its impact on the pricing of derivative instruments [PDF]
Model uncertainty, in the context of derivative pricing, can be defined as the uncertainty on the value of a contingent claim resulting from the lack of precise knowledge of the pricing model to be used for its valuation. We introduce here a quantitative
Rama Cont
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Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm [PDF]
, 2015 The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995).
Gehmlich, Frank, Schmidt, Thorsten
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Volatility made observable at last
, 2011 International audienceThe Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset.
Fliess, Michel +2 more
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Methods for Applied Macroeconomic Research [PDF]
The last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories.
Fabio Canova
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What do Experts Know About Ranking Journal Quality? A Comparison with ISI Research Impact in Finance [PDF]
Experts possess knowledge and information that are not publicly available. The paper is concerned with the ranking of academic journal quality and research impact using a survey of experts from a national project on ranking academic finance journals.
Chang, C-L., McAleer, M.J.
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SUBDISCIPLINE-SPECIFIC JOURNAL RANKINGS IN ECONOMICS [PDF]
Teaching/Communication/Extension/Profession,
Bailey, DeeVon +2 more
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Insights from spatial Markov chain and dynamic QCA into the spatiotemporal evolution and configurational pathways of eco-efficiency in China's coastal megaregions. [PDF]
Sci RepDi J, Wang Y.
europepmc +1 more source