Search Results - subject:"Moment generating functions"

Moment conditions for fractional degree stochastic dominance

Wang, Hongxia; Zhou, Lin; Dai, Peng-Fei; Xiong, Xiong - In: Finance research letters 49 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013479652

Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula

De Marco, Stefano; Martini, Claude - In: Quantitative finance 18 (2018) 4, pp. 609-622

Persistent link: https://www.econbiz.de/10011906443

An analytical study of norms and Banach spaces induced by the entropic value-at-risk

Ahmadi-Javid, Amir; Pichler, Alois - In: Mathematics and financial economics 11 (2017) 4, pp. 527-550

Persistent link: https://www.econbiz.de/10011900598

Ensuring the Validity of the Micro Foundation in DSGE Models

Andreasen, Martin Møller - School of Economics and Management, University of Aarhus - 2008

The presence of i) stochastic trends, ii) deterministic trends, and/or iii) stochastic volatility in DSGE models may imply that the agents' objective functions attain infinite values. We say that such models do not have a valid micro foundation. The paper derives sufficient conditions which...

Persistent link: https://www.econbiz.de/10005440061

Gambler’s ruin and winning a series by m games

Lengyel, Tamás - In: Annals of the Institute of Statistical Mathematics 63 (2011) 1, pp. 181-195

Persistent link: https://www.econbiz.de/10008925553