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厦门大学 [8]
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期刊论文 [23]
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A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates.
期刊论文
Chaos, Solitons & Fractals, 2019, 卷号: Vol.123, 页码: 59-68
作者:
Ma, Chaoqun
;
Ma, Zonggang
;
Xiao, Shisong
收藏
  |  
浏览/下载:8/0
  |  
提交时间:2019/12/13
Credit risk
Derivatives
European options
Mellin transform
Pricing
A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
期刊论文
CHAOS SOLITONS & FRACTALS, 2019, 卷号: Vol.123, 页码: 59-68
作者:
Ma, CQ
;
Ma, ZG
;
Xiao, SS
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/17
European options
Derivatives
Credit risk
Pricing
Mellin transform
Investment, Tobin's q, and interest rates
期刊论文
JOURNAL OF FINANCIAL ECONOMICS, 2018, 卷号: 130, 期号: 3, 页码: 620-640
作者:
Lin, Xiaoji
;
Wang, Chong
;
Wang, Neng
;
Yang, Jinqiang
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  |  
浏览/下载:8/0
  |  
提交时间:2019/08/22
Term structure of interest rates
Capital adjustment costs
Assets in place
Growth opportunities
Bond q
市场分割与外汇风险:基于汇率-利率的联合信息提取
学位论文
2017, 2016
邓弋威
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  |  
浏览/下载:6/0
  |  
提交时间:2017/06/20
市场分割
随机贴现因子
汇率特质性波动
Market segmentation
Stochastic discount factor
FX idiosyncratic volatility
Prediction of soil moisture scarcity using sequential Gaussian simulation in an arid region of China
期刊论文
GEODERMA, 2017, 卷号: 295, 页码: 119-128
作者:
Shao, MG (reprint author), Northwest A&F Univ, State Key Lab Soil Eros & Dryland Farming Loess P, Yangling 712100, Shaanxi, Peoples R China.
;
Zhang, Shuaipu
;
Shao, Mingan
;
Li, Danfeng
;
Shao, MG (reprint author), Chinese Acad Sci, Key Lab Ecosyst Network Observat & Modeling, Inst Geog Sci & Nat Resources Res, Beijing 100101, Peoples R China.
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  |  
浏览/下载:15/0
  |  
提交时间:2018/04/12
Soil Moisture Scarcity
Spatial Pattern
Risk Analysis
Stochastic Simulation
Uncertainty
Reducible diffusions with time-varying transformations with application to short-term interest rates
期刊论文
ECONOMIC MODELLING, 2016, 卷号: 52, 页码: 266-277
作者:
Bu, Ruijun
;
Cheng, Jie
;
Hadri, Kaddour
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  |  
浏览/下载:4/0
  |  
提交时间:2019/11/26
Maximum likelihood estimation
Constant elasticity variance
Short-term interest rate
Reducible diffusion
Time-varying transformation
Stochastic differential equation
Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates (EI收录)
期刊论文
Mathematical Methods of Operations Research, 2015, 卷号: 82, 页码: 61-83
作者:
Tan, Jiyang[1]
;
Li, Chun[1]
;
Li, Ziqiang[2]
;
Yang, Xiangqun[3]
;
Zhang, Bicheng[1]
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/04/25
Markov processes
Numerical methods
Risk assessment
Stochastic models
Stochastic systems
Why the Housing Sector Leads the Whole Economy: The Importance of Collateral Constraints and News Shocks
期刊论文
http://dx.doi.org/10.1007/s11146-012-9389-5, 2014
Ren, Yu
;
Yuan, Yufei
;
任宇
;
袁宇菲
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  |  
浏览/下载:3/0
  |  
提交时间:2015/07/22
BUSINESS-CYCLE
BORROWING CONSTRAINTS
PORTFOLIO CHOICE
LIFE-CYCLE
PRICES
FLUCTUATIONS
CONSUMPTION
INVESTMENT
TIME
Why The House Sector Leads The Whole Economy: the Importance of Collateral Constraints and News Shocks
研究报告
2013
Yu Ren
;
Yufei Yuan
收藏
  |  
浏览/下载:2/0
  |  
提交时间:2013/11/08
news shocks
heterogeneous agents
house sector
collateral constraints
aggregate uncertainty
Why The Housing Sector Leads The Whole Economy: the Importance of Collateral Constraints and News Shocks
期刊论文
http://www.wise.xmu.edu.cn/paperInfor.asp?id=263, 2013
Yu Ren
;
Yufei Yuan
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  |  
浏览/下载:6/0
  |  
提交时间:2013/11/08
News shocks
Heterogeneous agents
Housing sector
Collateral constraints
Aggregate uncertainty
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