essays on regime switching models in finance

... ……………………………………………………………………… 118 ix Essays on Regime Switching Models in Finance Hong Miao Abstract This dissertation consists of four essays focusing on applications of regime switching models in …nance. The …rst ... applications of regime switching models to invest- ment timing, general equilibrium pricing models, volatility models and risk managemen...

Ngày tải lên: 03/06/2014, 01:51

... of financial instruments. 6 OPTIMAL CONTROL MODELS IN FINANCE 3. Pontryagin Theorem The Pontryagin theorem was first introduced in Pontryagin [69, 1962]. Consider a minimization problem in finance ... finding the optimal control becomes one of finding the switch- xvi OPTIMAL CONTROL MODELS IN FINANCE ing times in the dynamic financial system. A cost of switching control...

Ngày tải lên: 22/02/2014, 06:20

... including conditioning information. In general, the beta pricing equation (1.4) is a restriction on expected returns, and thus imposes a restriction on intercepts in the time-series regression. ... function u(.) is increasing and concave to reflect desire for more consumption and the declining marginal value of additional consumption. Investors’ impatience to the time dimension is capt...

Ngày tải lên: 18/03/2014, 00:20

... it contains methods and ideas that will again be used in Chapters 6 through 8. If one is interested in special models then they are usually dealt with in a self-contained way. If one is only interested ... chapter contains an introduction to both classical stock option pricing, more recent stock price models in the diffusion context, and interest rate models. Here, many nonstandar...

Ngày tải lên: 18/03/2014, 00:20

... of financial instruments. 6 OPTIMAL CONTROL MODELS IN FINANCE 3. Pontryagin Theorem The Pontryagin theorem was first introduced in Pontryagin [69, 1962]. Consider a minimization problem in finance ... finding the optimal control becomes one of finding the switch- xvi OPTIMAL CONTROL MODELS IN FINANCE ing times in the dynamic financial system. A cost of switching control...

Ngày tải lên: 08/05/2014, 10:01

... permission. Reproduced with permission of the copyright owner. Further reproduction prohibited without permission. Essays on foreign bank penetration in emerging economies Wu, Ji ProQuest Dissertations and Theses; ... permission of the copyright owner. Further reproduction prohibited without permission. Reproduced with permission of the copyright owner. Further reproduction prohibited w...

Ngày tải lên: 01/06/2014, 14:00

... permission. Reproduced with permission of the copyright owner. Further reproduction prohibited without permission. Essays on foreign bank penetration in emerging economies Wu, Ji ProQuest Dissertations and Theses; ... permission of the copyright owner. Further reproduction prohibited without permission. Reproduced with permission of the copyright owner. Further reproduction prohibited w...

Ngày tải lên: 03/06/2014, 01:44

... permission of the copyright owner. Further reproduction prohibited without permission. Essays on partial identification in econometrics and finance Galichon, Alfred ProQuest Dissertations and ... permission of the copyright owner. Further reproduction prohibited without permission. Reproduced with permission of the copyright owner. Further reproduction prohibited without permission. R...

Ngày tải lên: 03/06/2014, 01:47

... target, POOLING INTERESTS is equal to one if the accounting method of the corporate combination is pooling of interests method, or zero otherwise 23 . Two interaction terms, COMPETITION T * LT ... results in this study are consistent through time. Furthermore, instead of only including successful mergers as in many mergers and acquisitions studies, I include unsuccessful mergers in...

Ngày tải lên: 03/06/2014, 02:22

...  Collecting and presenting basic terms in finance and banking.  Providing their Vietnamese equivalents or expressions. 12  Providing majors in finance and banking Department in particular ... Translation in the case of finance and banking. 21 CHAPTER II: A STUDY ON TRANSLATION OF ENGLISH RELATED - TERMS IN FINANCE AND BANKING INTO VIETNAMESE. 22 1. TYPICAL TERM...

Ngày tải lên: 11/12/2013, 23:55