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11.
Under the general affine jump-diffusion framework of Duffie et al. [Econometrica, 2000, 68, 1343–1376], this paper proposes an alternative pricing methodology for European-style forward start options that does not require any parallel optimization routine to ensure square integrability. Therefore, the proposed methodology is shown to possess a better accuracy–efficiency trade-off than the usual and more general approach initiated by Hong [Forward Smile and Derivative Pricing. Working paper, UBS, 2004] that is based on the knowledge of the forward characteristic function. Explicit pricing solutions are also offered under the nested jump-diffusion setting proposed by Bakshi et al. [J. Finance, 1997, 52, 2003–2049], which accommodates stochastic volatility and stochastic interest rates, and different integration schemes are numerically tested. 相似文献
12.
In this paper, we study a barrier present value (BPV) maximization problem for an insurance entity whose surplus process follows an arithmetic Brownian motion. The BPV is defined as the expected discounted value of a payment made at the time when the surplus process reaches a high barrier level. The insurance entity buys proportional reinsurance and invests in a Black–Scholes market to maximize the BPV. We show that the maximal BPV function is a classical solution to the corresponding Hamilton–Jacobi–Bellman equation and is three times continuously differentiable using a novel operator. Its associated optimal reinsurance-investment control policy is determined by verification techniques. 相似文献
13.
In this paper, we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insurance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation, we obtain asymptotic results for conditional risk measures based on the Value-at-Risk and the Conditional Tail Expectation. These results allow us to assess the influence of an individual institution on the systemic or market risk and vice versa through a collection of conditional risk measures. For large markets, Poisson approximations of the relevant constants are provided. Differences of the conditional risk measures for an underlying homogeneous and inhomogeneous random graph are illustrated by simulations. 相似文献
14.
Peter Løchte Jørgensen 《European Journal of Finance》2013,19(7):595-619
Abstract This paper analyzes an explicit return smoothing mechanism which has recently been introduced as part of a new type of pension savings contract that has been offered by Danish life insurers. We establish the payoff function implied by the return smoothing mechanism and show that its probabilistic properties are accurately approximated by a suitably adapted lognormal distribution. The quality of the lognormal approximation is explored via a range of simulation-based numerical experiments, and we point to several other potential practical applications of the paper's theoretical results. 相似文献
15.
Hiroki Tsurumi 《Asia-Pacific Financial Markets》2000,7(3):209-237
A survey of Bayesian statistical computations of quadratureformula, Laplace approximation, and Markov Chain Monte Carlo algorithms ispresentedand their applications to nonlinear financial time series models arediscussed. 相似文献
16.
The authors report on the construction of a new algorithm for the weak approximation of stochastic differential equations.
In this algorithm, an ODE-valued random variable whose average approximates the solution of the given stochastic differential
equation is constructed by using the notion of free Lie algebras. It is proved that the classical Runge–Kutta method for ODEs
is directly applicable to the ODE drawn from the random variable. In a numerical experiment, this is applied to the problem
of pricing Asian options under the Heston stochastic volatility model. Compared with some other methods, this algorithm is
significantly faster.
This research was partly supported by the Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific
Research (C), 15540110, 2003 and 18540113, 2006, the 21st century COE program at Graduate School of Mathematical Sciences,
the University of Tokyo, and JSPS Core-to-Core Program 18005. 相似文献
17.
This study proposes a methodology to optimize truck arrival patterns to reduce emissions from idling truck engines at marine container terminals. A bi-objective model is developed minimizing both truck waiting times and truck arrival pattern change. The truck waiting time is estimated via a queueing network. Based on the waiting time, truck idling emissions are estimated. The proposed methodology is evaluated with a case study, where truck arrival rates vary over time. We propose a Genetic Algorithm based heuristic to solve the resulting problem. Result shows that, a small shift of truck arrivals can significantly reduce truck emissions, especially at the gate. 相似文献
18.
SOQPSK-TG (Telemetry Group version of Shaped Offset Quadrature Phase Shift Key)具有良好的频率利用率和功率利用率,广泛应用于无线通信系统当中。在连续通信模式下,SOQPSK-TG信号的同步主要采用直接判决算法。为进一步降低算法复杂度,推导了基于线性相位近似的最大似然估计误差鉴别器,理论上分析了算法估计性能,并搭建了简化的接收模型。通过仿真证明了算法在估计性能上优于脉冲幅度调制方法,算法误码率接近理论性能。 相似文献
19.
We propose a tractable framework for quantifying the impact of loss‐triggered fire sales on portfolio risk, in a multi‐asset setting. We derive analytical expressions for the impact of fire sales on the realized volatility and correlations of asset returns in a fire sales scenario and show that our results provide a quantitative explanation for the spikes in volatility and correlations observed during such deleveraging episodes. These results are then used to develop an econometric framework for the forensic analysis of fire sales episodes, using observations of market prices. We give conditions for the identifiability of model parameters from time series of asset prices, propose a statistical test for the presence of fire sales, and an estimator for the magnitude of fire sales in each asset class. Pathwise consistency and large sample properties of the estimator are studied in the high‐frequency asymptotic regime. We illustrate our methodology by applying it to the forensic analysis of two recent deleveraging episodes: the Quant Crash of August 2007 and the Great Deleveraging following the default of Lehman Brothers in Fall 2008. 相似文献
20.