随机测度stop-and-
We incorporate asset pricing method of Backward Stochastic Differential Equation into the BGG model so as to better measure asset prices bubble.
作者将倒向随机微分方程的资产定价方法纳入到BGG模型,以提高央行对资产价格泡沫的测度。
Secondly, based on the unilateral default contagion model, this paper deprives the joint distribution of the default times from the financial mathematics theories, such as the probability, measure theory, stochastic analysis, etc.
其次,本文在给定的单向违约传染模型的基本条件下,运用概率测度、随机分析等金融数学知识,推导出了A、B的违约停时的联合密度分布。
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