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Margin trade, short sales and financial stability Journal article
Journal of Economic Interaction and Coordination, 2019
Authors:  Hui Ying Sng;  Yang Zhang;  Huanhuan Zheng
Favorite  |  View/Download:4/0  |  Submit date:2019/11/01
Margin Requirement  Financial Stability  Speculation  Leverage  
Painlevé transcendents and the Hankel determinants generated by a discontinuous Gaussian weight Journal article
Mathematical Methods in the Applied Sciences, 2019,Volume: 42,Issue: 1,Page: 301-321
Authors:  Min C.;  Chen Y.
Favorite  |  View/Download:8/0  |  Submit date:2019/02/12
Asymptotics  Hankel Determinants  Ladder Operators  Orthogonal Polynomials  Painlevé Transcendents  Random Matrices  
Painleve transcendents and the Hankel determinants generated by a discontinuous Gaussian weight Journal article
MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2019,Volume: 42,Issue: 1,Page: 301-321
Authors:  Min, Chao;  Chen, Yang
Favorite  |  View/Download:4/0  |  Submit date:2019/01/17
asymptotics  Hankel determinants  ladder operators  orthogonal polynomials  Painleve transcendents  random matrices  
Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching Journal article
SCIENCE CHINA-INFORMATION SCIENCES, 2018,Volume: 61,Issue: 7
Authors:  Zhang, Shuaiqi;  Xiong, Jie;  Liu, Xiangdong
Favorite  |  View/Download:16/0  |  Submit date:2018/10/30
partial information  Markovian regime-switching  stochastic maximum principle  forward-backward stochastic differential equation (FBSDE)  
Deformation mechanism of strain localization in 2D numerical interface tests Journal article
ACTA GEOTECHNICA, 2018,Volume: 13,Issue: 3,Page: 557-573
Authors:  Zhu, Huaxiang;  Zhou, Wan-Huan;  Yin, Zhen-Yu
Favorite  |  View/Download:33/0  |  Submit date:2018/10/30
DEM  Interface shearing  Soil-structure interface  Strain localization  
Estimating spot volatility in the presence of infinite variation jumps Journal article
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018,Volume: 128,Issue: 6,Page: 1958-1987
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi
Favorite  |  View/Download:17/0  |  Submit date:2018/10/30
Semi-martingale  High Frequency Data  Spot Volatility  Kernel Estimate  Central Limit Theorem  
Asymptotic properties of the realized skewness and related statistics Journal article
Annals of the Institute of Statistical Mathematics, 2018
Authors:  Yuta Koike;  Zhi Liu
Favorite  |  View/Download:4/0  |  Submit date:2019/06/10
High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise  
Hybrid feedback for global asymptotic stabilization on a compact manifold Conference paper
2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017
Authors:  Casau P.;  Cunha R.;  Sanfelice R.G.;  Silvestre C.
Favorite  |  View/Download:4/0  |  Submit date:2019/02/12
Bond and option pricing for interest rate model with clustering effects Journal article
QUANTITATIVE FINANCE, 2018,Volume: 18,Issue: 6,Page: 969-981
Authors:  Zhang, Xin;  Xiong, Jie;  Shen, Yang
Favorite  |  View/Download:17/0  |  Submit date:2018/10/30
Interest rate modelling  Marked point process  Hawkes processes  Bond pricing  Bond option  
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations Journal article
FINANCE AND STOCHASTICS, 2017,Volume: 21,Issue: 2,Page: 427-469
Authors:  Liu, Zhi
Favorite  |  View/Download:16/0  |  Submit date:2018/10/30
Integrated Volatility  High-frequency Data  Multiple Observations  Stable Convergence