Narrow search
Showing 1 - 10 of 40
Cover Image
Die ersten Tage im Studium der Wirtschaftsinformatik
Lämmel, Uwe; Vilkner, Eberhard - Hochschule <Wismar> / Fakultät für … - 2007
Was erwartet mich an der Hochschule? Werde ich den Anforderungen gerechtwerden können? Wie ist das in einer Vorlesung? Wie sind die Professoren?Wer studiert außer mir das Fach? Diese und weitere Fragen beschäftigen jedenStudienanfänger. Der Schritt von der Schule oder aus der beruflichen...
Persistent link: https://www.econbiz.de/10009418773
Cover Image
On quantitative approximation of stochastic integrals with respect to the geometric Brownian motion
Geiss, Stefan - 1999
This paper approximates stochastic integrals with respect to the geometric Brownian motion by stochastic integrals over discretized integrands, where deterministic, but not necessarily equidistant, time nets are used.
Persistent link: https://www.econbiz.de/10005841720
Cover Image
Hedging in an Illiquid Binomial Market
Gökay, Selim; Soner, Halil Mete - National Centre of Competence in Research - Financial … - 2011
We analyze numerically the superreplication problem and the associatedhedging strategy in an illiquid binomial market. We prove theexistence of an optimal feedback strategy for European and barrier optionsand compute it numerically by means of a dynamic programmingprinciple. We exhibit that the...
Persistent link: https://www.econbiz.de/10009486850
Cover Image
On the Information Content of the Fama and French Factors in the UK
Mouselli, Sulaiman; Michou, Maria; Stark, Andrew - Manchester Business School - 2008
newsrelated to future industrial production growth in addition to the market factor. Furthermore, whenloadings on HML and SMB are …
Persistent link: https://www.econbiz.de/10005870637
Cover Image
Realität setzt den Massstab
Loepfe, Andreas - Center for Urban & Real Estate Management <Zürich> - 2008
Die richtige Gewichtung von Investitionen gestaltet sich schwierig: Die Optimierung mittels Finanzmathematik ist zu …
Persistent link: https://www.econbiz.de/10005871177
Cover Image
The saga of the American Put
Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
The American put is one of the oldest problems in mathematical finance. We review the development of the relevant literature over the last 40 years. Today the mainstream computational problems have been solved satisfactorily and the target of research is shifting towards the development of...
Persistent link: https://www.econbiz.de/10005858384
Cover Image
Robust GMM Tests for Structural Breaks
Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...
Persistent link: https://www.econbiz.de/10005858906
Cover Image
Saddlepoint Approximations and Test Statistics for Accurate Inference in Overidentified Moment Conditions Models
Ronchetti, Elvezio; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We propose a new class of test statistics inducing accurate dual likelihood ratio tests of parametric constraints in overidentified moment conditions models. These statistics are derived from the dual likelihood implied by the exponent in the saddlepoint approximation of a general GMM estimator...
Persistent link: https://www.econbiz.de/10005859123
Cover Image
Fixed Effects Bias in Panel Data Estimators
Buddelmeyer, Hielke; Jensen, Paul H.; Oguzoglu, Umut; … - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2008
Since little is known about the degree of bias in estimated fixed effects in panel data models, we run Monte Carlo simulations on a range of different estimators. We find that Anderson-Hsiao IV, Kiviet’s bias-corrected LSDV and GMM estimators all perform well in both short and long panels...
Persistent link: https://www.econbiz.de/10005859693
Cover Image
Das Äquivalenzprinzip der Finanzmathematik
Walther, Ursula - Technische Universität <Freiberg> - 2002
Das Äquivalenzprinzip der Finanzmathematik vergleicht und bewertet Zahlungsströme. Dazuist eine Bewertung von Zeit und … Darstellungsweise gibteinen einheitlichen formalen Rahmen. In der Finanzmathematik wird Zeit durch Verzinsungbewertet. Bei der Bewertung …The principle of equivalence in mathematics of finance compares and values cash flows. Itrequires a valuation of time …
Persistent link: https://www.econbiz.de/10005864471