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11.
Damir Filipovi 《Mathematical Finance》1999,9(4):349-359
We study a problem posed in Bj"ork and Christensen (1999): Does there exist any nontrivial interest rate model that is consistent with the Nelson–Siegel family? They show that within the Heath–Jarrow–Morton framework with deterministic volatility structure the answer is no. In this paper we give a generalized version of this result including stochastic volatility structure. For that purpose we introduce the class of consistent state space processes, which have the property to provide an arbitrage-free interest rate model when representing the parameters of the Nelson–Siegel family. We characterize the consistent state space Itô processes in terms of their drift and diffusion coefficients. By solving an inverse problem we find their explicit form. It turns out that there exists no nontrivial interest rate model driven by a consistent state space Itô process. 相似文献
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Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire which yields smaller capital requirements than any other numeraire. 相似文献
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Purković Damir Suman Darko Jelaska Igor 《International Journal of Technology and Design Education》2021,31(5):919-937
International Journal of Technology and Design Education - Today’s dynamic change of the pupils’ technological environment certainly affects their preferences towards technology, which... 相似文献
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Damir Krei Josip Mikuli Katarina Mili
evi 《International Journal of Tourism Research》2013,15(5):484-494
Although there is an abundance of studies on secular tourist satisfaction and perceived quality of respective tourist destinations, these issues have remained largely neglected when it comes to pilgrimage destinations. The objective of this paper thus is to investigate the key drivers of tourist satisfaction in a pilgrimage destination context by using the case of Medjugorje, one of the most renowned shrines to the Virgin Mary in the world. A recently proposed moderated regression analysis is used to explore whether individual destination attributes can be classified into factors with either a larger or smaller potential to generate satisfaction than dissatisfaction, according to the three‐factor theory of customer satisfaction. Copyright © 2012 John Wiley & Sons, Ltd. 相似文献
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Damien?AckererEmail author Damir?Filipovi? Sergio?Pulido 《Finance and Stochastics》2018,22(3):667-700
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Charlier A expansion with closed-form coefficients. We derive closed-form series representations for option prices whose discounted payoffs are functions of the asset price trajectory at finitely many time points. This includes European call, put and digital options, forward start options, and can be applied to discretely monitored Asian options. In a numerical study, we show that option prices can be accurately and efficiently approximated by truncating their series representations. 相似文献
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This study examines the effects of five antecedents on consumers' time perceptions in a hypermarket environment. Findings indicate that the actual shopping time spent in the store and planned shopping activities significantly influence consumers' shopping time perceptions, while consumers' waiting time perceptions are driven by both actual checkout waiting time and actual shopping time. The article examines time gaps, i.e. consumers' errors in time estimation, as related to store loyalty intention and finds that past consumer purchases moderate the relationship between both time gaps and store loyalty intention. Managerial implications are discussed in the article. 相似文献
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Empirical evidence suggests that fixed‐income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin‐Dufresne and Goldstein (2002, Journal of Finance, 57, 1685–1730) showed that no two‐factor Cox–Ingersoll–Ross (CIR) model can exhibit USV, it has been unknown to date whether CIR models with more than two factors can exhibit USV or not. We formally review USV and relate it to bond market incompleteness. We provide necessary and sufficient conditions for a multifactor CIR model to exhibit USV. We then construct a class of three‐factor CIR models that exhibit USV. This answers in the affirmative the above previously open question. We also show that multifactor CIR models with diagonal drift matrix cannot exhibit USV. 相似文献
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We review the notion of a linearity‐generating (LG) process introduced by Gabaix and relate LG processes to linear‐rational (LR) models studied by Filipovi? et al. We show that every LR model can be represented as an LG process and vice versa. We find that LR models have two basic properties that make them an important representation of LG processes. First, LR models can be easily specified and made consistent with nonnegative interest rates. Second, LR models go naturally with the long‐term risk factorization due to Alvarez and Jermann, Hansen and Scheinkman, and Qin and Linetsky. Every LG process under the long forward measure can be represented as a lower dimensional LR model. 相似文献
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Damir STIJEPIC 《Revista Internacional del Trabajo》2020,139(3):335-367
Con datos de la encuesta del PIAAC (OCDE), que incluye una evaluación directa de las competencias cognitivas de la población adulta, el autor estudia su efecto en el empleo en 32 países. En promedio, un aumento en una unidad de la desviación estándar de la competencia matemática se asocia con un aumento de 8,4 puntos porcentuales de la probabilidad de tener empleo, lo que reduce la probabilidad de inactividad y desempleo en 6,4 y 2,1 puntos, respectivamente. Al tener en cuenta la competencia matemática, el efecto estimado de los años de escolaridad se reduce en un tercio. Los efectos de las competencias cognitivas son más pronunciados en los países con mayor desempleo. 相似文献