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dc.contributor.author蔡明耀en_US
dc.contributor.authorMing-Yao Tsaien_US
dc.contributor.author許元春en_US
dc.contributor.authorYuan-Chung Sheuen_US
dc.date.accessioned2014-12-12T02:56:22Z-
dc.date.available2014-12-12T02:56:22Z-
dc.date.issued2005en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT009322511en_US
dc.identifier.urihttp://hdl.handle.net/11536/79000-
dc.description.abstract仿射過程是種取值於m個正實數值及n個實數值的馬可夫過程,而仿射過程的特殊性質能廣泛的處理財務上的問題。Duffie、 Filipovic、 Schachermeyer完整刻劃出仿射過程的主要特徵,再者仿射過程和超擴散過程的關係也已被建立。基於這些觀察我們能建構更多仿射過程來處理財務上的問題。zh_TW
dc.description.abstractAffine processes is a class of Markov processes taking values in Rm+ × Rn. The rich variety of alternative types of random behavior (e.g., mean reversion,stochasticvolatility, and jumps) and analytically tractable for affine processes make them ideal models for financial applications. Duffie, Filipovic and Schachermayer[DFS03]characterized all regular affine processes. Connections between regular affine processes and superprocesses with a finite base space were also established. Based on this observation, we construct more general affine processes and investigate sample path properties and financial applications of these processes.en_US
dc.language.isoen_USen_US
dc.subject仿射過程zh_TW
dc.subject信用風險zh_TW
dc.subjectAffine processesen_US
dc.subjectCredit risken_US
dc.title仿射過程及其應用zh_TW
dc.titleAffine Processes and Applicationsen_US
dc.typeThesisen_US
dc.contributor.department應用數學系所zh_TW
Appears in Collections:Thesis


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