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  • 程序Introduction to Stochastic Processes with R.zip
       书中的配套程序

    本附件包括：
    • drift.R
    • absorption.R
    • adjacent.R
    • AustenCount.txt
    • bbridge.R
    • bivariatenormal.R
    • bm.R
    • bmhitting.R
    • branching.R
    • branchPoisson.R
    • buswaiting.R
    • c1brownian.R
    • c1expgrowth.pdf
    • c1expgrowth.R
    • c1gamblersruin.R
    • c1randomwalk.R
    • c5trivariate.pdf
    • c8options.R
    • cancerstudy.R
    • carleton_1.0.1.tar.gz
    • coinflips.R
    • darwin.R
    • decode.R
    • forest.R
    • gamblersruin.R
    • globalbalance.R
    • graduation.R
    • gym.R
    • hypercube.R
    • integratedbm.R
    • ising.R
    • kstest.R
    • logistic.R
    • lungcancer.csv
    • lungcancer.xls
    • markovproc.R
    • matrixexp.R
    • maxssrw.R
    • mm1queue.R
    • ornstein.R
    • ornstein2.R
    • pagerank.R
    • pattern.R
    • pattern2.R
    • perfect.R
    • perfectmono.R
    • pizza.R
    • poissonsim.R
    • powerlaw.R
    • powerlaw2.R
    • Psubordination.R
    • ReedFrost.R
    • returntime.R
    • rw1135.R
    • rw134.R
    • rw2135.R
    • SaylesCost.R
    • scriptsample.R
    • snakes.R
    • spatialPoisson.R
    • standardnormal.R
    • stochresonance.R
    • trivariate.R
    • utilities.R
    • waitingparadox.R
  • 754.15 KB
  • 2020-3-13

  • TVP_VAR_SHRINK.zip
       Korobilis (2013) "Data-based priors for VARs with drifting coefficients

  • 132.88 KB
  • 2019-1-5

  • Linetsky Papers.zip

    本附件包括：
    • Intensity-based Valuation of Residential Mortgages_ An Analytically Tractable Model.pdf
    • Lookback Options and Diffusion Hitting Times_ A Spectral Expansion Approach.pdf
    • On the Transition Densities for Reflected Diffusions.pdf
    • Pricing Equity Derivatives subject to Bankruptcy,.pdf
    • Pricing Options in Jump-Diffusion Models_ An Extrapolation Approach.pdf
    • Pricing Options on Scalar Diffusions_ An Eigenfunction Expansion Approach.pdf
    • Spectral Expansions for Asian (Average Price) Options.pdf
    • Step Options.pdf
    • Steps to the Barrier.pdf
    • Structuring, Pricing and Hedging Double Barrier Step Options.pdf
    • The Path Integral Approach to Financial Modeling and Options Pricing.pdf
    • The Spectral Decomposition of the Option Value.pdf
    • The Spectral Representation of Bessel Processes with Drift_ Applications in Queueing and Finance.pdf
    • The Valuation and Hedging of Barrier and Lookback Options under the CEV Process.pdf
    • The Valuation of Executive Stock Options in an Intensity-Based Framework.pdf
    • A Jump to Default Extended CEV Model_ An Application of Bessel Processes.pdf
    • Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates.pdf
    • Exotic Spectra.pdf
  • 6.16 MB
  • 2014-9-13

  • Cut Adrift-Families in Insecure Times.rar

    本附件包括：
    • Cut Adrift-Families in Insecure Times.epub
  • 1.17 MB
  • 2014-8-28

  • CharnesCD.zip
       modeling with crystal ball and Excel 书中附带的Excel表格

    本附件包括：
    • PortfolioVaR.xls
    • PrincipalProtectedInstrument.xls
    • Profit.xls
    • Project.xls
    • RandomWalk.xls
    • RandomWalkWithDrift.xls
    • ScooterNPV.xls
    • ScooterSimulation.xls
    • Sengupta2.xls
    • Sengupta3.xls
    • Sengupta.xls
    • SPY.xls
    • SPYwithGBM.xls
    • SustainableRetirementWithdrawals.xls
    • TenYearTreasuryYields2005.xls
    • Triangular.xls
    • TwoCorrelatedAssets.xls
    • Uniform.xls
    • VFH.xls
    • Accumulate.xls
    • AKGolf.xls
    • Analytic.xls
    • AppendixA.xls
    • AsianCall.xls
    • AsianCallVarReduction.xls
    • AssetOrNothingCall.xls
    • BatchFit.xls
    • BermuPut.xls
    • Bernoulli.xls
    • Binomial.xls
    • BullSpread.xls
    • CLT.xls
    • CorrelatedGBM.xls
    • CVaR.xls
    • CVaRSubadditivity.xls
    • DirectSampling.xls
    • EsreyOptions.xls
    • ETFs.xls
    • EuroCall.xls
    • EuroPut.xls
    • FiveTosses.xls
    • InverseTransform.xls
    • Kurtosis.xls
    • LCGExamples.xls
    • LifetimeValue.xls
    • Lognormal.xls
    • Mixture Model.xls
    • Newton.xls
    • Normal.xls
    • NPV.xls
    • NPVModels.xls
    • OneYearTreasuryYields.xls
    • PearsonSpearman.xls
    • Portfolio.xls
  • 2.95 MB
  • 2013-12-19

  • A note on the distribution of the least squares estimator of a random walk with .rar

    本附件包括：
    • A note on the distribution of the least squares estimator of a random walk with drift_ Some analytical evidence.pdf
  • 395.09 KB
  • 2013-2-5

  • A note on the distribution of the least squares estimator of a random walk with .rar

    本附件包括：
    • A note on the distribution of the least squares estimator of a random walk with drift： Some analytical evidence.pdf
  • 395.17 KB
  • 2013-2-4

  • 经典会计论文top2.rar
       

    本附件包括：
    • Towards a Positive Theory of the Determination of Accounting Standards.pdf
    • Post-Earnings-Announcement Drift_ Delayed Price Response or Risk Premium_.pdf
    • Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings ….pdf
    • Propositions about the Psychology of Professional Judgment in Public Accounting.pdf
    • SECURITY ANALYST SUPERIORITY RELATIVE TO.pdf
    • Security analyst superiority relative to univariate time-series models in forecasting quarterly ….pdf
    • The Association between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors.pdf
    • The Demand for and Supply of Accounting Theories_ The Market for Excuses.pdf
    • The Evolution of Management Accounting.pdf
    • The Information Content of Annual Earnings Announcements.pdf
  • 24.17 MB
  • 2011-10-19

  • GaussCode_Inf_Persistence.zip

    本附件包括：
    • sb_drift.prg
    • us_def_inf.txt
    • readme.txt
  • 9.87 KB
  • 2010-7-27

  • chap 3.rar

    本附件包括：
    • Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings.pdf
    • Does the Stock Market Overreact .pdf
    • Does the Stock Market Overreact_Discussion.pdf
    • Post-Earnings-Announcement Drift_Delayed Price Response or Risk Premium.pdf
    • Returns to Buying Winners and Selling Losers_ Implications for Stock Market Efficiency Returns to Buying Winners and Selling Losers_ Implications for Stock Market Efficiency.pdf
    • Discussion of Post-Earnings-Announcement Drift.pdf
  • 4.9 MB
  • 2009-8-17

  • chap 3.rar

    本附件包括：
    • Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings.pdf
    • Does the Stock Market Overreact .pdf
    • Does the Stock Market Overreact_Discussion.pdf
    • Post-Earnings-Announcement Drift_Delayed Price Response or Risk Premium.pdf
    • Returns to Buying Winners and Selling Losers_ Implications for Stock Market Efficiency Returns to Buying Winners and Selling Losers_ Implications for Stock Market Efficiency.pdf
    • Discussion of Post-Earnings-Announcement Drift.pdf
  • 4.9 MB
  • 2009-8-17

  • 22517.rar
       [下载]Johansen的几篇文章

    本附件包括：
    • 2003More on Testing Exact Rational including drift term.pdf
    • 1995Identifying restrictions of linear equations with applications to simultaneous equations.pdf
    • 1999Testing exact rational expectations in vecm.pdf
    • 2000Cointegration analysis in the presence of structural breaks in the deterministic trend.pdf
    • 2000Modelling of cointegration in the vector autoregressive model.pdf
    • 2002A BARTLETT CORRECTION FACTOR on cointergration relation.pdf
    • 2002A small sample correction for tests of hypotheses on the cointegrating vectors.pdf
    • 2002Controlling Inflation in a Cointegrated with vecm an Application to US Data.pdf
    • 2004more on testing rational expection in vecm contrain constant and linear term.pdf
    • 2004The equivalence of two parametrizations for the I(2) model.pdf
    • 2005A note on testing restrictions for the cointegration parameters of a VAR with I(2) variables.pdf
    • 2005Interpretation of Cointegrating Coefficients in vecm.pdf
    • 03statistical analysis of hypotheses on the cointegrtion I(2).pdf
    • 1992DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND.pdf
  • 3.4 MB
  • 2005-8-10
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