Euler–Rodrigues formula: Difference between revisions
Jump to navigation
Jump to search
No edit summary |
|||
| Line 1: | Line 1: | ||
{{context|date=August 2011}} | |||
In [[probability theory]], a '''basic affine jump diffusion (basic AJD)''' is a [[stochastic process]] Z of the form | |||
:<math> dZ_t=\kappa (\theta -Z_t)\,dt+\sigma \sqrt{Z_t}\,dB_t+dJ_t,\qquad t\geq 0, | |||
Z_{0}\geq 0, </math> | |||
where <math> B </math> is a standard [[Brownian motion]], and <math> J </math> is an independent [[compound Poisson process]] with constant jump intensity <math> l </math> and independent exponentially distributed jumps with mean <math> \mu </math>. For the process to be well defined, it is necessary that <math> \kappa \theta \geq 0 </math> and <math> \mu \geq 0 </math>. A basic AJD is a special case of an [[affine process]] and of a [[jump diffusion]]. On the other hand, the [[Cox–Ingersoll–Ross]] (CIR) process is a special case of a basic AJD. | |||
Basic AJDs are attractive for modeling default times in [[credit risk]] applications,<ref name="DufGar01"/><ref name="Mor06"/><ref name="Eck09" /><ref name="FelNie10"/> since both the [[moment generating function]] | |||
:<math> m\left( q\right) =\operatorname{E} \left( e^{q\int_0^t Z_s \, ds}\right) | |||
,\qquad q\in \mathbb{R}, </math> | |||
and the [[characteristic function (probability theory)|characteristic function]] | |||
:<math> \varphi \left( u\right) =\operatorname{E} \left( e^{iu\int_0^t Z_s \, ds}\right) ,\qquad u\in \mathbb{R}, </math> | |||
are known in [[Closed-form expression|closed form]].<ref name="Eck09">{{cite journal | author = Andreas Ecker | year = 2009 | title = Computational Techniques for basic Affine Models of Portfolio Credit Risk | journal = Journal of Computational Finance | volume = 13 | pages = 63–97}}</ref> | |||
The characteristic function allows one to calculate the density of an integrated basic AJD | |||
:<math> \int_0^t Z_s \, ds </math> | |||
by [[Fourier inversion]], which can be done efficiently using the [[Fast Fourier transform|FFT]]. | |||
==References== | |||
{{Reflist|refs= | |||
<ref name="DufGar01">{{cite journal | author = Darrell Duffie, Nicolae Gârleanu | year = 2001 | title = Risk and Valuation of Collateralized Debt Obligations | journal = Financial Analysts Journal | volume = 57 | pages = 41–59}} [http://www.darrellduffie.com/uploads/working/DuffieGarleanu2000.pdf Preprint]</ref> | |||
<ref name="Mor06">{{cite journal | author = Allan Mortensen | year = 2006 | title = Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models | journal = Journal of Derivatives | volume = 13 | pages = 8–26}} [http://w4.stern.nyu.edu/salomon/docs/Credit2006/AM_BasketIntensities_wp05.pdf Preprint]</ref> | |||
<ref name="Eck09">{{cite journal | author = Andreas Ecker | year = 2009 | title = Computational Techniques for basic Affine Models of Portfolio Credit Risk | journal = Journal of Computational Finance | volume = 13 | pages = 63–97}} [http://www.eckner.com/papers/bAJD_comp.pdf Preprint]</ref> | |||
<ref name="FelNie10">{{cite journal | author = Peter Feldhütter, Mads Stenbo Nielsen | year = 2010 | title = Systematic and idiosyncratic default risk in synthetic credit markets}} [http://www.feldhutter.com/CDOpaper070710.pdf Preprint]</ref> | |||
}} | |||
[[Category:Stochastic processes]] | |||
{{probability-stub}} | |||
Revision as of 15:05, 28 January 2014
My name is Jestine (34 years old) and my hobbies are Origami and Microscopy.
Here is my web site; http://Www.hostgator1centcoupon.info/ (support.file1.com)
In probability theory, a basic affine jump diffusion (basic AJD) is a stochastic process Z of the form
where is a standard Brownian motion, and is an independent compound Poisson process with constant jump intensity and independent exponentially distributed jumps with mean . For the process to be well defined, it is necessary that and . A basic AJD is a special case of an affine process and of a jump diffusion. On the other hand, the Cox–Ingersoll–Ross (CIR) process is a special case of a basic AJD.
Basic AJDs are attractive for modeling default times in credit risk applications,[1][2][3][4] since both the moment generating function
and the characteristic function
are known in closed form.[3]
The characteristic function allows one to calculate the density of an integrated basic AJD
by Fourier inversion, which can be done efficiently using the FFT.
References
43 year old Petroleum Engineer Harry from Deep River, usually spends time with hobbies and interests like renting movies, property developers in singapore new condominium and vehicle racing. Constantly enjoys going to destinations like Camino Real de Tierra Adentro.
- ↑ Cite error: Invalid
<ref>tag; no text was provided for refs namedDufGar01 - ↑ Cite error: Invalid
<ref>tag; no text was provided for refs namedMor06 - ↑ 3.0 3.1 One of the biggest reasons investing in a Singapore new launch is an effective things is as a result of it is doable to be lent massive quantities of money at very low interest rates that you should utilize to purchase it. Then, if property values continue to go up, then you'll get a really high return on funding (ROI). Simply make sure you purchase one of the higher properties, reminiscent of the ones at Fernvale the Riverbank or any Singapore landed property Get Earnings by means of Renting
In its statement, the singapore property listing - website link, government claimed that the majority citizens buying their first residence won't be hurt by the new measures. Some concessions can even be prolonged to chose teams of consumers, similar to married couples with a minimum of one Singaporean partner who are purchasing their second property so long as they intend to promote their first residential property. Lower the LTV limit on housing loans granted by monetary establishments regulated by MAS from 70% to 60% for property purchasers who are individuals with a number of outstanding housing loans on the time of the brand new housing purchase. Singapore Property Measures - 30 August 2010 The most popular seek for the number of bedrooms in Singapore is 4, followed by 2 and three. Lush Acres EC @ Sengkang
Discover out more about real estate funding in the area, together with info on international funding incentives and property possession. Many Singaporeans have been investing in property across the causeway in recent years, attracted by comparatively low prices. However, those who need to exit their investments quickly are likely to face significant challenges when trying to sell their property – and could finally be stuck with a property they can't sell. Career improvement programmes, in-house valuation, auctions and administrative help, venture advertising and marketing, skilled talks and traisning are continuously planned for the sales associates to help them obtain better outcomes for his or her shoppers while at Knight Frank Singapore. No change Present Rules
Extending the tax exemption would help. The exemption, which may be as a lot as $2 million per family, covers individuals who negotiate a principal reduction on their existing mortgage, sell their house short (i.e., for lower than the excellent loans), or take part in a foreclosure course of. An extension of theexemption would seem like a common-sense means to assist stabilize the housing market, but the political turmoil around the fiscal-cliff negotiations means widespread sense could not win out. Home Minority Chief Nancy Pelosi (D-Calif.) believes that the mortgage relief provision will be on the table during the grand-cut price talks, in response to communications director Nadeam Elshami. Buying or promoting of blue mild bulbs is unlawful.
A vendor's stamp duty has been launched on industrial property for the primary time, at rates ranging from 5 per cent to 15 per cent. The Authorities might be trying to reassure the market that they aren't in opposition to foreigners and PRs investing in Singapore's property market. They imposed these measures because of extenuating components available in the market." The sale of new dual-key EC models will even be restricted to multi-generational households only. The models have two separate entrances, permitting grandparents, for example, to dwell separately. The vendor's stamp obligation takes effect right this moment and applies to industrial property and plots which might be offered inside three years of the date of buy. JLL named Best Performing Property Brand for second year running
The data offered is for normal info purposes only and isn't supposed to be personalised investment or monetary advice. Motley Fool Singapore contributor Stanley Lim would not personal shares in any corporations talked about. Singapore private home costs increased by 1.eight% within the fourth quarter of 2012, up from 0.6% within the earlier quarter. Resale prices of government-built HDB residences which are usually bought by Singaporeans, elevated by 2.5%, quarter on quarter, the quickest acquire in five quarters. And industrial property, prices are actually double the levels of three years ago. No withholding tax in the event you sell your property. All your local information regarding vital HDB policies, condominium launches, land growth, commercial property and more
There are various methods to go about discovering the precise property. Some local newspapers (together with the Straits Instances ) have categorised property sections and many local property brokers have websites. Now there are some specifics to consider when buying a 'new launch' rental. Intended use of the unit Every sale begins with 10 p.c low cost for finish of season sale; changes to 20 % discount storewide; follows by additional reduction of fiftyand ends with last discount of 70 % or extra. Typically there is even a warehouse sale or transferring out sale with huge mark-down of costs for stock clearance. Deborah Regulation from Expat Realtor shares her property market update, plus prime rental residences and houses at the moment available to lease Esparina EC @ Sengkang - ↑ Cite error: Invalid
<ref>tag; no text was provided for refs namedFelNie10