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Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices
Interest Rate Models Affine Term Structure Bond Prices Market Price of Risk Combined Estimation Parameter Estimation
2016/1/26
We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, w...
Closed-form expansions of discretely monitored asian options in diffusion models
discretely monitored Asian options CEV model CIR process Black-Scholes model Brennan
2016/1/25
In this paper we propose a closed-form asymptotic expansion approach to pricing discretely monitored Asian options in general one-dimensional diffusion models. Our expansion is a small-time expansion ...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/25
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices
Interest Rate Models Affine Term Structure Bond Prices Market Price of Risk Combined Estimation Parameter Estimation
2016/1/20
We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, w...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/20
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
On the Approximate Maximum Likelihood Estimation for Diffusion Processes
Asymptotic expansion Asymptotic normality Consistency Dis- crete time observation Maximum likelihood estimation
2016/1/19
The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. A...
Political Mobility and Dynamic Diffusion of Innovation:The Spread of Municipal Pro-Business Administrative Reform in China
dynamic diffusion of innovation political mobility decentralized authoritarian China administrative licensing system business registration
2017/3/21
This article builds theoretical linkages between the political mobility of local officials and the dynamic diffusion of innovation in decentralized authoritarian China. We built two datasets consistin...
Book translations as idea flows: The effects of the collapse of Communism on the diffusion of knowledge
idea flows book translations institutions
2015/7/15
We use book translations as a new measure of international idea flows and study the effects of
Communism’s collapse in Eastern Europe on these flows. Using novel data on 800,000
translations and d...
A Diffusion Approximation for a Network of Reservoirs with Power Law Release Rule
Diffusion network reservoir power law
2015/7/8
A diffusion approximation for a network of continuous time reservoirs with power law release rules is examined. Under a mild assumption on the inflow processes, we show that for physically reasonable ...
A Diffusion Approximation for a Markovian Queue with Reneging
Markovian queues reneging impatience deadlines refl ected Ornstein–Uhlenbeck process
2015/7/8
Consider a single-server queue with a Poisson arrival process and exponential processing times in which each customer independently reneges after an exponentially distributed amount of time. We establ...
A Diffusion Approximation with a GI/GI/1 Queue with Balking or Reneging
deadlines reneging balking impatience GI/GI/1-GI queue Ornstein-Uhlenbeck process
2015/7/6
Consider a single-server queue with a renewal arrival process and generally distributed processing times in which each customer independently reneges if service has not begun within a generally distri...
Diffusion Approximations for the Maximum of a Perturbed Random Walk
Perturbed random walk diffusion approximation light-tailed distributi
2015/7/6
Considera random walk S=(Sn:n≥O) that is "perturbed" by a stationary sequence (ξn:n≥O) to produce the process S=(Sn+ξn:n≥O). In this paper, we are concerned with developing limit theorems and approxim...
Complete Corrected Diffusion Approximations for the Maximum of a Random Walk
Corrected diffusion approximations random walks ladder heights single-server queue
2015/7/6
Consider a random walk (Sn: n ≥ 0) with drift −μ and S0= 0. Assuming that the increments have exponential moments, negative mean, and are strongly nonlattice, we provide a complete asymptotic ex...
Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
Central Limit Theorems Large Deviations Additive Functionals Reflecting Diffusion Processes
2015/7/6
This paper develops central limit theorems (CLT's) and large deviations results for additive functionals associated with reflecting disions in which the functional may include a term associated with t...
Colonial Institutions,Trade Shocks,and the Diffusion of Elementary Education in Brazil,1889–1930
History Literacy Characteristics Voting Education Spending Performance Improvement Government and Politics Brazil
2015/4/23
In this paper, we examine the role of trade shocks in promoting the diffusion of elementary education in subnational units in Brazil during a period (1889–1930) in which they had relative financial au...