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By using the stochastic methods of statistical analysis, we show that the probability distribution of the normalized random price process for this financial ...
By using the stochastic methods of statistical analysis, we show that the probability distribution of the normalized random price process for this financial ...
In this paper, applying the theory of stochastic processes and interacting particle systems, including stopping time theory and the stochastic voter model, ...
By using the stochastic methods of statistical analysis, we show that the probability distribution of the normalized random price process for this financial ...
Stock Prices Fluctuations and Analytical Valuation of Contingent Claims by Stochastic Interacting Systems. Wang J., Zhao F., Wei C.
Abstract—The statistical analysis of Chinese stock market fluctuations modeled by the interacting particle systems has been done in this paper. The contact ...
This paper addresses the problem of market completeness when trading in contingent claims is allowed. We extend recent results by Bajeux and Rochet (1996) in a ...
The reader is referred to JMR (1983) for a full analytic treatment of how the formulation of the debt valuation problem, 1, is affected by the presence of ...
Recently, some research work has been done in the field of applying the theory of stochastic interacting particle dynamic systems to investigate the statistical ...
This paper presents a forward-looking framework (“Systemic CCA”) to measure systemic solvency risk based on market-implied expected losses of financial ...