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1.
The Black-Scholes equation for the price u(x,t) of a call option for a single share of common stock with dividend policy d(x,t) is 12σ2x2uxx+(rx?d(x,t))ux?ru?ut=0, 0<x, 0<t<T, with boundary conditions u(x,0)=max(0,x?E), 0≤x, u(0,t)=0, 0≤tT.The coefficients are unbounded and the equation is not uniformly parabolic. We prove an existence (and recall a uniqueness) theorem for a class of equations with boundary conditions that includes the Black-Scholes equation. These may be used to show that an American option must, or will not, sell for the same price as a European option.  相似文献   

2.
Abstract

The following situation is considered. A fixed number (= n) or sequence of independent trials T 1 T 2,…, T n is given, and in each of these an event E mayor may not occur, It is further observed that the event E occurs a total of k times amongst the n trials T i , (i = l,…, n). It is then required to test the hypothesis H 0 that the probability of the occurrence of E is constant from trial to trial, i.e. H 0 is the hypothesis: p 1 = p 2 = ? = p n = p, if p n (i = 1, …, n) represents the probability that E occurs on the ith trial.  相似文献   

3.
Abstract

Let X m(n) =(X j , n, ..., X j m,n ) be a subset of observations of a sample Xn = (X1n X 2n ... , X nn ). Here the Xjn 'S in Xn are not necessarily independent or identically distributed, and m(n) mayor may not tend to infinity as n tends to infinity. Suppose the joint density function hn =hn (x m (n); θ) of the X jn 's in Xm(n) is completely specified except the values of the parameters in the parameter vector θ = (θ1 θ2, ... , θ k ), where θ belongs to a non-degenerate open subset H of the k-dimensional Euclidean space Rk and k?m(n).  相似文献   

4.
Abstract

Il y a environ deux ans qu'avec un ami j'ai fait une vi site chez un mathématicien allemand, un adepte des mathématiques pures. En nous promenant dans la vieille ville d'université, notre hôte a exprimé quelques pensées qui ont resté dans ma mémoire. Il lui semblait, disait-il, que les mathématiques de nos temps devraient de plus en plus s'approcher des applications. Après l'activité intense des derniers lustres dans le domaine des théories bien abstraites des mathématiques pures — nommons p. ex. les théorèmes d'existence, la théorie des ensembles, l'intégrabilité des fonctions etc. — ce domaine avait besoin d'être laissé en repos pour quelque temps. Il était à attendre, que les intérêts des mathématiciens se tournent vers les questions qui, — sans être moins dignes du nom de mathématiques pures, — sont plus approchées des mathématiques appliquées, et en premier lieu vers la théorie des probabilités. J'ai souvent dit, qu'il y avait deux criterès pour l'admissibilité économique ou sociale des recherches scientifiques: ou la recherche doit-eUe s'attacher à la solution de qnelque question pratique, dont l'importance est évidente, ou qu'elle do it être utile pour 1a formation de nos idées générales sur la vie et sur l'univers. Sans nous arrêter sur la question si ce sont les difficultés économiques du temps qui causent ladite tendance de la science, nous autres actuaires, nous pouvons constater avec satisfaction que la branche des mathématiques pures qui nous intéresse spécialement, la théorie des probabilités et ses ramifications, satisfait d'une manière toute particulière à l'un et à l'autre de ces critères. En effet, les principes de notre science touchent aux extrêmes régions de la pensée humaine, et nous appliquons la théorie encore à nos soucis quotidiens.  相似文献   

5.
Abstract

1. Introduction.

A sample of N independently observed points (xo 1 | x11 , x21 ,... , xpt ), i = 1, 2, ... , N≥ p is given, where xk, k = 1, 2, ... , p are known, possibly choosable, non-random variates. Suppose now that, for any fixed values of x1 , x2 ..., xp the random variable o is normally distributed with the mean and the variance λo α x and λo are unknown parameters, not involving xk, the regression coefficients and the residual variance of the parent population respectively.  相似文献   

6.
Abstract

7. The joint distribution of the moments a 11, a 22,…, ann and a 12, …, a 1n may be deduced explicitly in the case, in which the variates χ1, …, χ n in (1) are mutually uncorrelated. In this case we have for the population values of the moments: αμv = 0 for μ ═ v and, consequently, Aμv = 0 for μ ═ v, so that according to (6) λμv = 0 for μ ═ v; the distribution (5) of the moments αμv is then   相似文献   

7.
Abstract

Je me suis proposé, il y a plusieurs années, d'étudier quelques questions de l'Analyse qui doivent avoir, quoique peut-être pas trop directement, une grande importance pour la théorie des probabilités. J'ai voulu pénétrer les énigmes qui enveloppent encore les connections qui existent certainement entre les formules fondamentales de cette théorie, d'une part, et les créations de la physique mathématique, d'autre part. J'ai surtout pensé aux résultats qui se rap portent aux équations à dérivées partielles, contenant l'expression différentielle de Laplace. Sans doute, la dénudation des secrets les plus intimes d'une théorie, la révélation des analogies frappantes des domaines différents, dans l'esprit de Riemann et Klein, abstraction faite de la beauté brillante de ces recherches, a aussi une grande valeur pratique pour la science. Je crois donc qu'on do it être reconnaissant quand on parvient à des résultats de cette espèce, si peu importants qu'ils peuvent apparaître.  相似文献   

8.
9.
BOOK REVIEWS     
《Accounting & Finance》1984,24(1):77-94
Book reviewed in this article: Greg Pound, John J. Willingham and D. R. Carmichael, Australian Auditing — Concepts and Methods Carrick Martin, An Introduction to Accounting D. R. Jeffery and M. J. Wallace, Systems Analysis and Design Yuji Ijiri, Accounting Structured in APL F. M. Wilkes, Capital Budgeting Techniques I. G. Wallschutzky and B. T. Colditz, Australian Income Tax Questions Gabriel B. Rothberg, Structured EDP Auditing K. J. Leo and J. R. Hoggett, Company Accounting in Australia Sir Keith Yorston, E. B. Smyth and S. R. Brown, Advanced Accounting Jack Clark Francis, Management of Investments Michael T. Skully, Merchant Banking in ASEAN — A Regional Examination of its Development and Operations Edna Carew, Fast Money - The Money Market in Australia  相似文献   

10.
The persistence of earnings per share   总被引:2,自引:2,他引:0  
The persistence of innovations to accounting earnings per share, EPS, has important implications for equity valuation, yet it remains a largely neglected subject. This paper employs various empirical tests in order to measure the persistence of shocks to EPS for the S&P 500 index. Within the I(0)/I(1) paradigm the empirical evidence rejects the I(1) specification, supporting instead a trend-stationary representation. When fractional orders of integration are considered, the results indicate that the detrended series is long memory (d  >  0) and mean reverting (d < 1). The responses decay slowly to zero, albeit 50 quarters after an initial shock the responses remain significantly different from zero. Likewise, the variance ratio evidence suggests that the effect of a shock persists over time spans characteristic of the business cycle.
Rolando F. Peláez (Corresponding author)Email:
  相似文献   

11.
This paper re-examines and extends the findings of Bond et al., Journal of Real Estate Finance and Economics, 34, 447–461, (2007) who consider the theoretical model of Lin and Vandell, Real Estate Economics, 35, 291–330, (2007) to determine the extent to which individual real estate asset return characteristics caused by marketing period risk disappear in a large, diversified real estate portfolio. The effects of marketing period risk are found to disappear in the limit with growth in the size of the portfolio, with ex ante variance approaching ex post variance, but only if the portfolio consists of nonsystematic risk alone, in which case both approach zero. The marketing period risk factor (MPRF), representing the ratio of ex ante to ex post variance, however, does not in general approach zero in the limit, in fact could increase or decrease depending upon the illiquidity characteristics of the individual assets and the magnitude and degree of correlation among individual property returns and marketing periods. The results suggest that even large institutional real estate portfolio managers must consider the illiquidity present in their portfolios and cannot assume that its effect will be diversified away.
Kerry D. VandellEmail:
  相似文献   

12.
Superkurtosis     
Very little is known on how traditional risk metrics behave under intraday trading. We fill this void by examining the finiteness of the returns' moments and assessing the impact of their infinity in a risk management framework. We show that when intraday trading is considered, assuming finite higher order moments, potential losses are materially larger than what the theory predicts, and they increase exponentially as the trading frequency increases—a phenomenon we call s u p e r k u r t o s i s $superkurtosis$ . Hence, the use of the current risk management techniques under intraday trading imposes threats to the stability of financial markets, as capital ratios are severely underestimated.  相似文献   

13.
14.
BOOK REVIEWS     
《Accounting & Finance》1988,28(2):93-105
Book reviewed in this article: R.J. Chambers & F.L. Clarke, Varieties and Uses of Financial Information D.S. Choi and K. Hiramatsu (eds), Accounting and Financial Reporting in Japan P.W. Wolnizer, Auditing As Independent Authentication Robert J. Listman, Marketing Accounting Services C.A. Mallyon, Principles and Practice of Farm Management Accounting 3rd ed. M. Desmond Fitzgerald, Financial Options K. Cowling and R. Sugden, Transnational Monopoly Capitalism Shelagh A. Heffernan, Sovereign Risk Analysis R. Baxt, An Introduction to Company Law, 4th Ed.  相似文献   

15.
16.
We employ an innovative methodology suggested by Bernhardt et al. (J. Financ. Econ. 80:657–675, 2006) to examine the herding (or anti-herding) behavior of German analysts regarding earnings forecasts. This methodology avoids well-known shortcomings often encountered in related studies, such as correlated information signals, unexpected common shocks to earnings, systematic optimism or pessimism, or forecast target mismeasurement. Our findings suggest that German analysts anti-herd, that is, they systematically issue earnings forecasts that are further away from the consensus forecast than their private information indicates. Furthermore, we analyze the association between herding behavior and different characteristics, including the size of the brokerage, general or firm-specific experience, and the coverage of firms on the Neuer Markt. We mainly confirm findings for the United States, for example, that anti-herding is more severe in cases of higher competition among analysts. Contrary to anecdotal evidence, we also find anti-herding behavior in earnings forecasts for Neuer Markt firms during the “new economy” bubble.
Andreas Walter (Corresponding author)Email:
  相似文献   

17.
Book Reviews     
《Abacus》1968,4(1):80-95
Book reviewed in the article: CHARLES WEBER, The Evolution of Direct Costing ROBERT GOFF and GARETH JONES, The Law of Restitution RICHARD V. ANDREE, Computer Programming and Related Mathematics R. S. GYNTHER, Accounting for Price-Level Changes: Theory and Procedures RAYMOND DE ROOVER, The Rise and Decline of the Medici Bank, 1397–1494 P. W. S. ANDREWS, On Competition in Economic Theory DONALD E. MILLER, The Meaningful Interpretation of Financial Statements G. K. MASTERMAN and E. SOLOMON, assisted by R. BAXT, Australian Trade Practices Law, being the Law and Practice Relating to the Commonwealth Trade Practices Act and State Acts and relevant Foreign Legislation R. J. CHAMBERS, Financial Management REG. GYNTHER, Practising Accountants in Australia  相似文献   

18.
The research productivity of board members of the top academic finance journals—Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Financial Management—is investigated. Discipline specific benchmarks for substantial research excellence are determined and an evaluation of influential finance journals is presented. Publication in Journal of Finance is the most notable benchmark for selection to the editorial board of any of the finance journals evaluated. The results imply that publishing one article in Journal of Finance, Journal of Financial Economics or Review of Financial Studies in a 5-year period coupled with additional appearances in the broader top tier finance journals would be representative of exceptional research achievement.
Robert C. W. FokEmail:
  相似文献   

19.
Abstract

1. Let an infinite sequence of real numbers be given by (1) {ηt } =[…, η t-2, η t-1, η t , η t+1, η t+2, . . . ] and let (b) = (b 0, b 1,.., bh ) represent real constants. The sequence(2) {ζ t } = […, ζ t-2, ζ t-1, ζt , ζ t+1, ζ t+2,…] defined for every t by the relation(3) ζ t = b 0 · η t + b 1 · η t-1 — . . . + b h-1 · η t-h+1 + b h · η t-h is said to be a moving average of {η t } with weights (b i ) The variable t, which is restricted to integral values 0, ± 1, ± 2 etc., will in the sequel be spoken of as representing time.  相似文献   

20.
Exploring (false) dualisms for environmental accounting praxis   总被引:3,自引:1,他引:2  
This paper focuses on the political nature of the linguistic dualisms or ‘false antinomies’ that inhere in environmental accounting practice and environmental accounting research. These dualisms, ‘subject–object,’ ‘man–woman,’ ‘mind–body,’ and ‘culture–nature,’ the paper argues, need to be ‘ambiguized’ if the politics inherent in these dualisms are to be resisted. Two strategies for the ‘ambiguization’ of these dualisms are suggested: ‘performative parody,’ which is a strategy intended for environmental accounting practitioners, and ‘democratic reflexivity,’ which is a strategy intended for environmental accounting researchers. In taking this linguistic focus, the paper challenges common sense constructions of the environment and the potentially elitist and anti-democratic nature of environmental accounting research. By offering these two strategies, the paper provides a means of environmental accounting praxis, or means of resisting global ‘environmental’ domination.  相似文献   

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