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Impact of price realization on India’s tea export: Evidence from Quantile Autoregressive Distributed Lag Model
export price realization, Quantile Autoregressive Distributed Lag model India
2015/10/9
Th e quantile autoregressive distributed lag model of Galvao et al. (2013) was employed to assess the impact of
price realization on India’s tea export. Th e results of the QADL varied signifi...
This paper examines the empirical validity of a model of homogeneous input
demand under price uncertainty in which firms trade off expected input cost
against its variability (risk) in selecting t...
A model of commodity prices after Sir Arthur Lewis
Sir Arthur Lewis World income Cointegration
2014/3/24
We develop an idea from Arthur Lewis’ paper on unlimited supplies of labor to model the longrun behavior of the prices of primary commodity produced by poor countries. Commodity supply is
assumed inf...
Estimating the Commodity Price Model。
Three years ago we found a statistically reliable link between ConocoPhillips' (NYSE: COP) stock price and the difference between the core and headline CPI in the United States. In this article, the o...
Heat kernel methods in finance: the SABR model
Heat kernel methods finance the SABR model Pricing of Securities
2012/3/2
The SABR model is a stochastic volatility model not admitting a closed form solution. Hagan, Kumar, Leniewski and Woodward have obtained an approximate solution by means of perturbative techniques. A ...
Smiles all around: FX joint calibration in a multi-Heston model
FX joint calibration multi-Heston model Pricing of Securities
2012/3/2
Multi-currency FX derivatives offer a challenging playground to the mathematical modelling of correlations. Quotes of liquidly traded vanilla options on cross FX rates, e.g. EUR/JPY, can be used to ex...
Non - Randomness Stock Market Price Model
Non - Randomness Stock Market Price Model everywhere discontinuous function
2011/3/23
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
transaction costs invariant reductions exact solutions singular perturbation
2010/11/2
Families of exact solutions are found to a nonlinear modification of the Black-Scholes equation. This risk-adjusted pricing methodology model (RAPM) incorporates both transaction costs and the risk fr...
Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
Crude Oil Future Price ANN Prediction Models
2010/11/1
This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal
of attention was paid on ...
Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
Black–Scholes option pricing adaptive nonlinear Schr¨odinger equation
2010/11/2
A nonlinear wave alternative for the standard Black–Scholes option–pricing model is
presented. The adaptive-wave model, representing controlled Brownian behavior of financial
markets, is formally de...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.
Efficient swaptions price in Hull-White one factor model
Efficient swaptions price factor model
2010/10/29
The Hull-White one factor model is used to price interest rate options. The parameters
of the model are often calibrated to simple liquid instruments, in particular European
swaptions. It is therefo...