Publications des institutions partenaires
Collateral and short squeezing of liquidity in fixed rate tenders
The paper models fixed rate tenders, where a central bank offers to lend central bank funds to financial institutions. Bidders are constrained by the amount of collateral they have. We focus on the strategic interaction between bidding in the tender and trading in the interbank market after the tender, where short squeezes could occur. We examine how the design of the tender affects…
Institution partenaire
English / 01/11/2001
Sobolev spaces on non-smooth domains and Dirichlet forms related to subordinate reflecting diffusions
Let Ω be a bounded domain with fractal boundary, for instance von Koch's snowflake domain. First we determine the range and the kernel of the trace on ∂Ω of Sobolev spaces of fractional order defined on Ω. This extends some earlier results of H. Wallin and J. Marschall Secondly we apply these results in studying Dirichlet forms related to subordinate reflecting diffusions in non…
Institution partenaire
English / 01/01/2001
Function Spaces Related to Continuous Negative Definite Functions: Psi-Bessel Potential Spaces
Institution partenaire
English / 01/01/2001
Feller semigroups, Lp-sub-Markovian semigroups, and applications to pseudo-differential operators with negative definite symbols
Institution partenaire
English / 01/01/2001
Eigenvalue distribution of some fractal semi-elliptic differential operators
Institution partenaire
English / 01/01/2001
Diagnosing and treating the fat tails in financial returns data
Institution partenaire
English / 01/01/2000
Conditional density and value-at-risk prediciton of Asian currency exchange rates
Institution partenaire
English / 01/01/2000
Traces of Anisotropic Besov-Lizorkin-Triebel Spaces: A Complete Treatment of the Borderline Cases
Institution partenaire
English / 01/01/2000
Atomic and subatomic decompositions in anisotropic function spaces
Institution partenaire
English / 01/01/2000
A simple estimator for the characteristic exponent of the stable paretian distribution
Institution partenaire
English / 01/01/1999
The behaviour of the eigenvalues for a class of operators related to some self-affine fractals in R^2
Institution partenaire
English / 01/01/1999
The distribution of eigenfrequencies of anisotropic fractal drums
Institution partenaire
English / 01/01/1999
Irrational entry, rational exit
This paper sets up a model for analysing the problem of rational exit where the stopping time itself is part of the integration problem. The model development is for the case of smoking. Smoking produces pleasure, pain and addiction. Our model captures all these elements and using Brownian notion and continuous martingales establishes that “quit smoking” campaigns require a two…
Institution partenaire
English / 01/01/1998
Approximate distributions for the various serial correlograms
Institution partenaire
English / 01/01/1998
Unconditional and conditional distributional models for the Nikkei index
Institution partenaire
English / 01/01/1998
A tail estimator for the index of the stable paretian distribution
Institution partenaire
English / 01/01/1998
Anisotropic function spaces, fractals, and spectra of some elliptic and semi-elliptic differential operators
Institution partenaire
English / 01/01/1998
Stable Paretian Modeling in Finance: Some Empirical and Theoretical Aspects
Institution partenaire
English / 01/01/1998
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