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Essays on regime switching models in finance

The first essay discusses the investment timing problem in a regime switching framework. We consider a firm facing a future real investment opportunity whose investment cost depends on economic situations. The second essay extends the general equilibrium pricing model into an economy with two “states”. Based on assumptions of a CRRA utility function, we have derived a partial differential equation satisfied by the representative agent’s cost function. The third essay studies a stochastic volatility model in a regime switching world. We have derived closed form expressions for all the parameters by using the filtering techniques. The fourth essay provides a new approach for computing value at risk and expected shortfall in a regime switching economy. Based on the Student-t distribution assumption, we have suggested an approach to evaluate value at risk and expected shortfall.

Bộ Sưu Tập : Luận văn Thạc Sĩ
Tác Giả Chính : Miao, Hong.
Ngôn Ngữ : Eng,
Nơi Xuất Bản : Calgary (Canada) : 2008 University of Calgary,
Mô Tả Vật Lý : 142p.
Tóm Tắt : The first essay discusses the investment timing problem in a regime switching framework. We consider a firm facing a future real investment opportunity whose investment cost depends on economic situations. The second essay extends the general equilibrium pricing model into an economy with two “states”. Based on assumptions of a CRRA utility function, we have derived a partial differential equation satisfied by the representative agent’s cost function. The third essay studies a stochastic volatility model in a regime switching world. We have derived closed form expressions for all the parameters by using the filtering techniques. The fourth essay provides a new approach for computing value at risk and expected shortfall in a regime switching economy. Based on the Student-t distribution assumption, we have suggested an approach to evaluate value at risk and expected shortfall.
Chủ Đề : Equilibrium pricing, Finance,
Tác giả bổ sung :
Số Kiểm Soát : 72287
Luận Văn : Essays on regime switching models in finance
Tên File : 72287.pdf

Essays on regime switching models in finance

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