標(biāo)題: Titlebook: Optimal Control of Credit Risk; Didier Cossin,Felipe M. Aparicio Book 2001 Springer Science+Business Media Dordrecht 2001 credit risk.deri [打印本頁] 作者: 關(guān)稅 時(shí)間: 2025-3-21 17:26
書目名稱Optimal Control of Credit Risk影響因子(影響力)
書目名稱Optimal Control of Credit Risk影響因子(影響力)學(xué)科排名
書目名稱Optimal Control of Credit Risk網(wǎng)絡(luò)公開度
書目名稱Optimal Control of Credit Risk網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Optimal Control of Credit Risk被引頻次
書目名稱Optimal Control of Credit Risk被引頻次學(xué)科排名
書目名稱Optimal Control of Credit Risk年度引用
書目名稱Optimal Control of Credit Risk年度引用學(xué)科排名
書目名稱Optimal Control of Credit Risk讀者反饋
書目名稱Optimal Control of Credit Risk讀者反饋學(xué)科排名
作者: 輕推 時(shí)間: 2025-3-21 23:25 作者: perimenopause 時(shí)間: 2025-3-22 02:44
The Model,in financial guarantees. It can be used for ongoing control of guarantees (i.e., impulse control) or for optimal seizure timing (i.e., stopping time). In the real world, some situations will allow for ongoing control; others will leave only seizure as a control mean. When ongoing control is allowed,作者: 拍翅 時(shí)間: 2025-3-22 07:14
Full-Observation Case,tion case, where the guarantor can only monitor the value of the guarantee through costly audits, the problem consists also in deciding when it is best to audit). First of all, we have the value of the guarantee at time ., .(.), modelled as a .with drift and diffusion parameters, α(.(.).) and σ(.(.)作者: Myosin 時(shí)間: 2025-3-22 11:35
Partial Observation Case,rrent position of the guaranteed party’s assets. This situation will change the program in two different dimensions: (1) the dynamics of the controlled assets’ value, .(.), and (2) the costs faced by the guarantor. Because of these auditing costs, the guarantor will be led to observe the assets’ val作者: Glucocorticoids 時(shí)間: 2025-3-22 15:32
Numerical Approaches,c complexity of the problems, which prevents from obtaining qualitative information on the system’s behavior. In spite of the large amount of research done in computational methods for optimal control, the part concerning management problems is rather small.作者: CON 時(shí)間: 2025-3-22 18:36
Conclusions,uarantees. The methodology of Quasi Variational Inequalities was adapted to our problem, and exemplifies a possible approach to impulse control problems in finance. Models of optimal auditing and control policies in a variety of situations were derived: full observation with repeated control, full o作者: 有偏見 時(shí)間: 2025-3-23 00:25 作者: hallow 時(shí)間: 2025-3-23 01:36
978-1-4613-5531-1Springer Science+Business Media Dordrecht 2001作者: visual-cortex 時(shí)間: 2025-3-23 06:51 作者: 詳細(xì)目錄 時(shí)間: 2025-3-23 11:04 作者: 窒息 時(shí)間: 2025-3-23 16:18 作者: Rebate 時(shí)間: 2025-3-23 22:05 作者: 地名詞典 時(shí)間: 2025-3-24 00:13 作者: 我說不重要 時(shí)間: 2025-3-24 03:36 作者: set598 時(shí)間: 2025-3-24 07:39
https://doi.org/10.1007/978-1-4615-1393-3credit risk; derivatives; modeling; pricing作者: 寒冷 時(shí)間: 2025-3-24 12:04
Conclusions,ed us characterize the impact of changes in the economic environment (changes in interest rates, changes in volatility) as well as the impact of changes in the control cost functions on the occurrence of controls when the credit-risk-exposed party follows an optimal control policy.作者: 胎兒 時(shí)間: 2025-3-24 17:52 作者: BUCK 時(shí)間: 2025-3-24 20:43 作者: 誘導(dǎo) 時(shí)間: 2025-3-25 02:46
Literature Review,often focused on optimal seizure rules for regulators, with the exception of a paper studying general management of guarantees (Merton and Bodie, 1992) and of another one studying the impact of collateral on the pricing of guarantees (Cossin and Hricko, 2000).作者: 浸軟 時(shí)間: 2025-3-25 05:46 作者: Mendicant 時(shí)間: 2025-3-25 09:28 作者: Palpable 時(shí)間: 2025-3-25 12:52
Full-Observation Case, .(.) cannot force to be non-negative with this model. To make sure that .(.) is always positive, we can choose a . at the barrier . = 0, as a model for the assets’ value process. However, it is also possible to have negative values for .(.) with arbitrarily small probability, by an appropriate sele作者: 冷漠 時(shí)間: 2025-3-25 18:44
Partial Observation Case,eneral solution to this problem. Also, we will only discuss the solution to the impulse control problem, since for the optimal stopping problem the solution can be deducted from the former, by replacing the control costs with the stopping cost.作者: affect 時(shí)間: 2025-3-25 21:41 作者: 中子 時(shí)間: 2025-3-26 01:15 作者: 偽證 時(shí)間: 2025-3-26 06:57
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