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Exponential Quadratic Gaussian Asset Pricing Model with Partial Observation and Mean Field Equilibrium
The paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using mean field game theory. It characterizes the equilibrium risk premium through a solution to a mean field backward stochastic differential equation (BSDE) and constructs the risk premium process endogenously using Kalman-Bucy filtering.
Ait-Sahalia Model: Explicit Euler Schemes
提案された明示的なオイラー型スキームは、Ait-Sahaliaモデルの数値近似を実装可能であり、元のモデルの陽性保存を無条件に保持します。
Unconditionally Positivity-Preserving Euler-Type Schemes for Generalized Ait-Sahalia Model
Novel explicit Euler-type scheme for Ait-Sahalia model with unconditional positivity preservation and mean-square convergence rate of 0.5.
Ait-Sahalia Type Model Approximations for Mathematical Finance
Developing explicit Milstein-type schemes for Ait-Sahalia type models with positivity preservation.
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