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排序方式: 共有252条查询结果,搜索用时 203 毫秒
1.
Tina Hviid Rydberg 《Finance and Stochastics》1997,1(3):251-257
Simple sufficient conditions for the existence of a unique equivalent martingale measure are provided. Furthermore, these
conditions give us a handle on situations where an equivalent martingale measure cannot exist. The existence of a unique equivalent
martingale measure is of relevance to problems in mathematical finance. Two examples of models for which the question of existence
was unresolved are studied. By means of our results existence of a unique equivalent measure up to an explosion time is proved. 相似文献
2.
旅游扶贫在构建和谐社会中的战略意义和对策 总被引:5,自引:1,他引:5
通过对旅游扶贫的认识,探讨了旅游扶贫对落实科学发展观、构建社会主义和谐社会的重大战略意义,并对旅游扶贫开发提出一些建议和对策,使其发挥更好效用。 相似文献
3.
The construction of an importance density for partially non‐Gaussian state space models is crucial when simulation methods are used for likelihood evaluation, signal extraction, and forecasting. The method of efficient importance sampling is successful in this respect, but we show that it can be implemented in a computationally more efficient manner using standard Kalman filter and smoothing methods. Efficient importance sampling is generally applicable for a wide range of models, but it is typically a custom‐built procedure. For the class of partially non‐Gaussian state space models, we present a general method for efficient importance sampling. Our novel method makes the efficient importance sampling methodology more accessible because it does not require the computation of a (possibly) complicated density kernel that needs to be tracked for each time period. The new method is illustrated for a stochastic volatility model with a Student's t distribution. 相似文献
4.
我国城镇化建设的持续推进和施工技术的飞速发展大大推动了新型建筑材料及其施工技术的发展和应用,例如砌筑、保温、防水等材料。文章以某大型商业楼工程为例,主要介绍了该工程砌体BM轻骨料连锁砌块的工程特难点、施工准备、施工要点及优缺点等内容,同时提出了施工建议。 相似文献
5.
Jean‐François Coeurjolly Jesper Møller Rasmus Waagepetersen 《Revue internationale de statistique》2017,85(3):404-420
This tutorial provides an introduction to Palm distributions for spatial point processes. Initially, in the context of finite point processes, we give an explicit definition of Palm distributions in terms of their density functions. Then we review Palm distributions in the general case. Finally, we discuss some examples of Palm distributions for specific models and some applications. 相似文献
6.
Sandra De Iaco Donato Posa Claudia Cappello Sabrina Maggio 《Revue internationale de statistique》2021,89(1):36-53
The concepts of isotropy/anisotropy and separability/non‐separability of a covariance function are strictly related. If a covariance function is separable, it cannot be isotropic or geometrically anisotropic, except for the Gaussian covariance function, which is the only model both separable and isotropic. In this paper, some interesting results concerning the Gaussian covariance model and its properties related to isotropy and separability are given, and moreover, some examples are provided. Finally, a discussion on asymmetric models, with Gaussian marginals, is furnished and the strictly positive definiteness condition is discussed. 相似文献
7.
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
8.
We consider kernel density estimation for univariate distributions. The question of interest is as follows: given that the data analyst has some background knowledge on the modality of the data (for instance, ‘data of this type are usually bimodal’), what is the adequate bandwidth to choose? We answer this question by extending Silverman's idea of ‘normal‐reference’ to that of ‘reference to a Gaussian mixture’. The concept is illustrated in the light of real data examples. 相似文献
9.
为了提升车道线检测的准确性和实时性,改良车道偏离预警系统的性能,提出了一种新的车道线识别算法。首先应用投影法对采集到的图像设立感兴趣区域,以此来减少图像中存在的干扰信息;其次应用一种改进后的自适应高斯滤波算法对采集所得图像进行平滑处理,减少图像中不必要的细节;最后采用边缘绘制算法进行边缘检测,在此基础上,提出一种线段检测算法——Edline算法提取边缘线,对检测到的直线段进行筛选和聚类。利用引用计数法对车道线进行跟踪和预测。结果表明,新算法的平均处理时间为17.1 ms,准确率为96.19%,将其应用在车道偏离预警系统中可以有效地提高预警效率,提升预警的准确性和响应速度。研究结果丰富了车道线识别理论,可为车道偏离预警系统的应用及基础研究提供参考。 相似文献
10.