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On equilibrium prices in continuous time
(Escola de Pós-Graduação em Economia da FGV, 2008-02-28)
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Countdown to 2015 country case studies: what can analysis of national health financing contribute to understanding MDG 4 and 5 progress?
(BioMed Central, 2016)
Background: Countdown to 2015 (Countdown) supported countries to produce case studies that examine how and why progress was made toward the Millennium Development Goals (MDGs) 4 and 5. Analysing how health-financing data ...
Telegraph models of financial markets
(2001)
In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain ...
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2019-05-13)
El documento presenta los elementos básicos para entender los procesos Hawkes y su aplicación en finanzas. Se caracteriza el comportamiento asintótico de estos procesos y se describe el proceso de difusión de Hawkes como ...
Análisis de la financiación de campañas electorales con recursos públicos, la ineficacia del sistema de reposición de votos, el caso de la elección del gobernador de Risaralda 2019
(Universidad Externado de ColombiaFacultad de DerechoBogotáMaestría en Derecho de Estado con énfasis en Derecho Público, 2020)
Se realiza un análisis sobre la financiación de la política, describiendo los modelos de financiación, tanto permanente para los partidos políticos como específicamente de las campañas electorales, con aportes públicos y ...
Discrete-time autoregressive model for unequally spaced time-series observations.
Most time-series models assume that the data come from observations that are equally spaced in time. However, this assumption does not hold in many diverse scientific fields, such as astronomy, finance, and climatology, ...
Discrete-time autoregressive model for unequally spaced time-series observations.
Most time-series models assume that the data come from observations that are equally spaced in time. However, this assumption does not hold in many diverse scientific fields, such as astronomy, finance, and climatology, ...
Mean-variance hedging strategies in discrete time and continuous state space
(2006)
In this paper we consider the mean-variance hedging problem of a continuous state space financial model with the rebalancing strategies for the hedging portfolio taken at discrete times. An expression is derived for the ...