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Estimating jumps for structural models of credit risk.January 2006 (has links)
Li Chin Pang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 64-66). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Structural Models of Credit Risk --- p.7 / Chapter 2.1 --- Barrier-Independent Models --- p.8 / Chapter 2.2 --- Barrier-Dependent Models --- p.9 / Chapter 2.3 --- Empirical Literature --- p.10 / Chapter 3 --- Jump-Diffusion Models --- p.13 / Chapter 3.1 --- Analytical Option Pricing Formula --- p.14 / Chapter 3.1.1 --- The Jump-Diffusion Model of Merton --- p.14 / Chapter 3.1.2 --- The Jump-Diffusion Model of Kou --- p.15 / Chapter 3.2 --- Simulation for Options --- p.19 / Chapter 3.2.1 --- Simulation for Barrier-Independent Options --- p.19 / Chapter 3.2.2 --- Brownian Bridge Simulation for DOC Option --- p.20 / Chapter 4 --- Likelihood Function for Equity Returns --- p.24 / Chapter 4.1 --- Likelihood Function on Equity Return --- p.26 / Chapter 4.2 --- Degeneracy Problem of Likelihood Function --- p.27 / Chapter 5 --- The Proposed Framework --- p.31 / Chapter 5.1 --- Penalized Likelihood Estimation --- p.31 / Chapter 5.2 --- Expectation-Maximization Algorithm --- p.36 / Chapter 5.3 --- The MJD Structural Model --- p.41 / Chapter 5.4 --- The K<JD Structural Model --- p.43 / Chapter 5.5 --- Computation of the E-step --- p.47 / Chapter 6 --- Performance of Estimation --- p.49 / Chapter 6.1 --- Simulation Checks --- p.49 / Chapter 6.2 --- Empirical Performance --- p.55 / Chapter 6.2.1 --- Bond Selection --- p.55 / Chapter 6.2.2 --- Empirical Results --- p.57 / Chapter 7 --- Conclusion --- p.62 / Bibliography --- p.64
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Unified arbitrage pricing theory revisited: a structural equation modelling approach.January 2004 (has links)
Lau Ho-Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 56-57). / Abstracts in English and Chinese. / Abstract --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Comparison between APT and CAPM --- p.4 / Chapter 2.1 --- "CAPM, APT and UAPT" --- p.4 / Chapter 2.2 --- Introduction of CAPM --- p.5 / Chapter 2.3 --- Introduction of APT --- p.6 / Chapter 2.3.1 --- Assumptions and Requirements --- p.6 / Chapter 2.3.2 --- Introduction to the estimation of UAPT --- p.6 / Chapter 2.3.3 --- Limitations of classical procedures of APT --- p.7 / Chapter 3 --- Analysis of UAPT Using Structural Equation Model and Its Im- plementation in LISREL --- p.9 / Chapter 3.1 --- Introduction to SEM with LISREL Implementation --- p.9 / Chapter 3.1.1 --- The first stage of APT and the LISREL Model --- p.9 / Chapter 3.2 --- Estimation of APT by SEM --- p.12 / Chapter 3.2.1 --- Combining the two stages in classical method in APT by SEM --- p.12 / Chapter 3.2.2 --- Incorporating both observable and unobservable factors in APT (UAPT) by SEM --- p.15 / Chapter 3.2.3 --- LISREL Implementation --- p.16 / Chapter 4 --- Simulation --- p.19 / Chapter 4.1 --- Simulation Procedure --- p.19 / Chapter 4.2 --- Results --- p.23 / Chapter 5 --- Empirical Study on Hong Kong Stock Market --- p.26 / Chapter 5.1 --- Description and source of the data --- p.26 / Chapter 5.2 --- The Goodness-of-fit Indexes in LISREL --- p.28 / Chapter 5.2.1 --- The normed fit index (NFI) --- p.29 / Chapter 5.2.2 --- The non-normed fit index (NNFI) --- p.29 / Chapter 5.2.3 --- The comparative fit index (CFI) --- p.29 / Chapter 5.3 --- The Structure of our LISREL Model --- p.30 / Chapter 5.4 --- The Five Models in the Empirical Analysis --- p.31 / Chapter 5.5 --- Results --- p.32 / Chapter 5.6 --- Conclusion --- p.33 / Chapter 6 --- Conclusion and Discussion --- p.35 / Appendix --- p.37 / Chapter A --- Example of LISREL Implementation --- p.37 / Chapter B --- Simulation Design and Simulation Result --- p.39 / Chapter C --- Result of Empirical Study --- p.50 / Bibliography --- p.56
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The interface of the structural equation model and the arbitrage pricing theory.January 2004 (has links)
Li Ming-Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 115-116). / Abstracts in English and Chinese. / Abstract --- p.i / Declaration --- p.iii / Acknowledgment --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Arbitrage Pricing Theory --- p.3 / Chapter 2.1 --- Model and Assumptions --- p.3 / Chapter 2.2 --- Derivation of the APT --- p.5 / Chapter 2.2.1 --- Factor Risk Premia --- p.7 / Chapter 3 --- The Classical Approach --- p.8 / Chapter 3.1 --- Factor Analysis --- p.8 / Chapter 3.2 --- The Cross-sectional Regression --- p.11 / Chapter 3.3 --- Critiques Concerning the 、APT --- p.12 / Chapter 4 --- The Structural Equation Model Approach --- p.15 / Chapter 4.1 --- Combining the Factor Model and the Pricing Equation --- p.15 / Chapter 4.2 --- Framework of the SEM with Mean Structure --- p.16 / Chapter 4.3 --- Applying the SEM Approach to the APT --- p.19 / Chapter 4.4 --- Merit of the SEM Approach --- p.20 / Chapter 5 --- Simulation Study --- p.22 / Chapter 5.1 --- Simulation Design --- p.22 / Chapter 5.2 --- Insight from the Simulation Study --- p.26 / Chapter 5.2.1 --- Factor loading. B --- p.26 / Chapter 5.2.2 --- Factor covariance matrix. Φ --- p.26 / Chapter 5.2.3 --- "Risk-free rate, rf" --- p.27 / Chapter 5.2.4 --- "Risk premium, λ" --- p.28 / Chapter 5.2.5 --- "Sample size, T" --- p.29 / Chapter 5.2.6 --- Other findings --- p.29 / Chapter 6 --- Empirical Study --- p.30 / Chapter 6.1 --- Specification of the Data --- p.30 / Chapter 6.2 --- Procedures for the SEM Approach --- p.31 / Chapter 6.3 --- Procedures for the Classical Approach --- p.35 / Chapter 6.4 --- Model Interpretation --- p.36 / Chapter 6.5 --- Difficulties Encountered --- p.37 / Chapter 7 --- Conclusion and Discussion --- p.39 / Chapter A --- Result of the Simulation Study --- p.40 / Chapter B --- Result of the Empirical Study --- p.105 / Chapter C --- LISREL Program for the Empirical Study (by the SEM Ap- proach) --- p.111 / Bibliography --- p.115
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Better than classical and dynamic mean-variance policy. / CUHK electronic theses & dissertations collection / ProQuest dissertations and thesesJanuary 2010 (has links)
Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literatures in the past half century adhere their investigation to a binding budget spending assumption in static problem settings and a self financing assumption in dynamic settings. In the mean-variance world for a market of all risky assets, however, the common belief of monotonicity does not hold, i.e., not the larger amount you invest, the larger expected future wealth you can expect for a given risk (variance) level. We introduce in this thesis the concept of pseudo efficiency to remove from the candidates such efficient mean-variance policies which can be achieved by less initial investment level. By relaxing the binding budget spending restriction in investment, we derive an optimal scheme in managing initial wealth which dominates the traditional mean-variance efficient frontier. Moreover, as the general dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the investment process under certain circumstances. By introducing the concept of time inconsistency in efficiency and defining the induced trade-off, we further demonstrate in this thesis that investors behave irrationally under the pre-committed optimal mean-variance portfolio policy when their wealth is above certain threshold during the investment process. By relaxing the self-financing restriction to allow withdrawal of money out of the market, we develop a revised dynamic mean-variance policy for a market with a riskless asset which dominates the pre-committed optimal mean-variance portfolio policy in the sense that, while the two achieve the same mean-variance pair of the terminal wealth, the revised policy enables the investor to receive a free cash flow stream (FCFS) during the investment process. We further apply the concept of pseudo efficiency to a dynamic market of all risky assets and explore (better) revised dynamic mean-variance policies. By including the free cash flow stream in the total wealth, our proposed policy dominates the pre-committed optimal mean-variance portfolio policy in the sense that while both achieve the same total mean, the revised policy generates a smaller total variance. We reveal in this thesis that the time consistency in efficiency is closely related to the completeness of the market. We further discuss the relationship between time consistency in efficiency and the variance-optimal signed martingale measure (VSMM) of the market. Finally we show that time inconsistency in efficiency can be eliminated by enforcing no-shorting constraint for some market setting. / Cui, Xiangyu. / Adviser: Li Duan. / Source: Dissertation Abstracts International, Volume: 72-04, Section: A, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 163-170). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.
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Supply chain modeling pricing, contracts and coordination. / Supply chain modelling : pricing, contracts and coordination / CUHK electronic theses & dissertations collection / Digital dissertation consortiumJanuary 2002 (has links)
Thesis (Ph.D.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (p. 123-132). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web. / Abstracts in English and Chinese.
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Existence and stability of stationary solutions for the general nonisentropic hydrodynamic semiconductor models. / CUHK electronic theses & dissertations collectionJanuary 2004 (has links)
Li Yeping. / "December 2004." / Thesis (Ph.D.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (p. 138-147) / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web. / Abstracts in English and Chinese.
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Supply chain strategies and practices: an exploratory study. / CUHK electronic theses & dissertations collectionJanuary 2006 (has links)
Keywords. Competitive strategy, Supply chain strategy, Leanness, Agility, Environmental uncertainty, Moderator, Cumulative model. / Supply chain management has become one of the most popular approaches to enhance the global competitiveness of business corporations today. Thus, it has received more and more attention from practitioners and the academia. However, how to effectively manage the flow of materials from supply sources to the ultimate customer represents a major challenge for today's managers. From the viewpoint of business competition, Porter (1980) identified three general types of strategies, i.e., overall cost leadership, differentiation, and focus. This research tries to make an extension of this typology from an angle of supply chain management. Two general supply chain strategies including leanness and agility are identified in this study. / This research is composed of three studies. Study 1 makes a contribution to investigate the moderating effect of environmental uncertainty on the relationship between competitive strategy and supply chain strategy, and between supply chain strategy and financial performance. The findings prove that environmental uncertainty works as a homologizer in the proposed framework. Using multiple group structural equation analysis, the different strengths of the impact of competitive strategy on supply chain strategy and that of supply chain strategy on financial performance are identified. Study 2 tests the validity of the matrix proposed by Fisher (1997) and Christopher (2000) in which the relationship between product characteristics and supply chain structure is proposed. The findings show that the functional product needs a higher level of the use of the lean supply chain, while innovative products need a higher level of the use of the agile or leagile supply chain. The regression results demonstrate that the match between product characteristics and supply chain strategy indeed lead to higher performance. Finally, study 3 identifies several supply chain management practices through a thorough literature review of about 300 academic papers and classifies them into eight bundles. Based on Ferdows and De Meyer (1990)'s cumulative model, we propose that lean manufacturers should focus on such practices that help them build lean capabilities, and agile manufacturers need to build lean capabilities first before pursuing agility. / Qi Yinan. / "May 2006." / Adviser: Xiande Zhao. / Source: Dissertation Abstracts International, Volume: 68-02, Section: A, page: 0644. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (p. 175-187). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.
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The effects and detection of collinearity in an analysis of covarianceGiacomini, Jo Jane January 2011 (has links)
Typescript (photocopy). / Digitized by Kansas Correctional Industries
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Behavior of an ion in a bubble in the ground stateOh, Joung Hoon 01 January 1991 (has links)
Deuterons might be trapped in a bubble embryo which occur s due to statistical fluctuation in heavy water. The size of the bubble embryo is expected to be an order of a small molecule. The ground state energy level which the deuteron may occupy in the bubble is calculated by solving the Schroedinger equation, and by considering the interaction between the trapped deuteron by a spherical bubble and the surrounding polarized liquid medium (heavy water). From the dependence of the energy eigenvalue of the ground state on the bubble radius, the pressure exerted on the bubble wall is obtained. It is found that the pressure is negatively very large if the bubble radius is about the molecular size (3 to 7 Å). From extrapolating this result to larger sizes, we expect that a bubble would quickly collapse if enough energy is supplied and never grows to a stable bubble when the deuteron is trapped in the ground state.
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Development of a mathematical N-line model for simulation of beach changesDang, Van To, Civil & Environmental Engineering, Faculty of Engineering, UNSW January 2006 (has links)
The development of a new N-Line model, which provides a practical tool for simulating regional beach changes induced by short and long-term processes, is described in this thesis. The new N-Line model consists of four main modules that together describe the hydrodynamic and morphological responses. The four constituent modules have been integrated based on a wide range of research including the utility and function of commercial or freeware models. They are RCPWAVE wave module, time-averaged and depth-integrated current module, sediment transport module based on Bailard (1981) and contour change morphological module. Two different time-scales and two staggered grid systems for hydrodynamic and morphological simulations were adopted alternatively. For short-term 2D profile changes, new N-Line model applicability has been examined using data from the laboratory to the field. For ideal beaches, new N-Line can simulate an offshore storm bar generation or an onshore accretion due to high or low energy waves. For SUPERTANK large-scale flume data, the predicted profile matched the measured profile well, especially the bar height and position. For beach profile data from the Gold Coast, storm-induced variations of barred profiles were reasonably modelled. The new N-Line model compared well with other commonly used cross-shore models such as SBEACH and UNIBEST. A new schematisation for a non-monotonic profile and DUNED inclusion were introduced. Sensitivity tests on cross-shore sediment coefficient (Kq), smoothing parameter (??s) and water level fluctuations were performed. For long-term 3D beach changes, the new N-Line model applicability has been tested with various boundary conditions using idealized and real field data. Two periods, 17 and 16 months, of beach changes before and after a major bypass plant commenced operation in 2001 at Letitia Spit were simulated. The profile and shoreline changes were predicted reasonably well. Empirical model parameters were determined after a range of sensitivity and calibration testing. The new N-Line model showed its better performance compared to one-line models. It can handle various boundary conditions, especially bypass conditions. The N-Line model is not only capable of modelling planform variations but also cross-shore profile changes.
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