In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...

В статье рассмотрены определения термина «устойчивость банковской системы», приводимые различными авторами. Эти определения сопоставляются с определениями...

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then...

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...

Discrete-time ARMA processes can be placed in a one-to-one correspondence with a set of continuous-time processes that are bounded in frequency by the Nyquist value of ? radians per sample period. It is well known that, if data are sampled from a continuous process of which the maximum frequency...

A theory of band-limited linear stochastic processes is described and it is related to the familiar theory of ARMA models in discrete time. By ignoring the limitation on the frequencies of the forcing function, in the process of fitting a conventional ARMA model, one is liable to derive...