Mathematics eJournal最新文献_第4页

Eductive Stability May not Imply Evolutionary Stability in the Presence of Information Costs 在存在信息成本的情况下，教育稳定性可能并不意味着进化稳定性

Mathematics eJournal Pub Date : 2019-05-02 DOI: 10.2139/ssrn.3381809

A. Naimzada, M. Pireddu

引用次数: 8

A Generalization of Quantum Theory 量子理论的推广

Mathematics eJournal Pub Date : 2019-04-11 DOI: 10.2139/ssrn.3370398

J. Chen

引用次数: 0

Deconstructing the Yield Curve 解构收益率曲线

Mathematics eJournal Pub Date : 2019-04-01 DOI: 10.2139/ssrn.3368414

Richard K. Crump, Nikolay Gospodinov

引用次数: 11

The Implicit Constraints of Fundamental Review of the Trading Book Profit-and-Loss-Attribution Testing and a Possible Alternative Framework 交易账簿损益归因检验基本审查的隐含约束及可能的替代框架

Mathematics eJournal Pub Date : 2019-03-27 DOI: 10.21314/JOR.2018.404

Alessandro Pogliani, Federico Paganini, Marilena Rata

{"title":"The Implicit Constraints of Fundamental Review of the Trading Book Profit-and-Loss-Attribution Testing and a Possible Alternative Framework","authors":"Alessandro Pogliani, Federico Paganini, Marilena Rata","doi":"10.21314/JOR.2018.404","DOIUrl":"https://doi.org/10.21314/JOR.2018.404","url":null,"abstract":"The Fundamental Review of the Trading Book (FRTB) is a relatively new regulatory framework, proposed by the Basel Committee on Banking Supervision and dedicated to market risk. Its major innovation is the profit-and-loss-attribution (PLA) test, a tool designed to verify the alignment between theoretical changes in a trading desk portfolio’s value, based on an institution’s risk-measurement model (risk theoretical profit-and-loss (RTPL)), and hypothetical changes in a trading desk portfolio’s value, based on an institution’s accounting/front-office pricing model (hypothetical profit-and-loss (HPL)). The theoretical and numerical results presented in this paper highlight the very strong, implicit constraints embedded in PLA and the generally low probability of conducting a successful PLA test; these results support industry concerns related to the proposed regulatory requirements. Moreover, numerical tests aimed at assessing whether RTPL and HPL are sufficiently close show that the proposed alternative framework based on statistical hypothesis testing, together with the imposition of a minimum correlation level between RTPL and HPL, appears to be a robust approach in terms of statistical discriminatory power, reactivity and sensitivity to outliers.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121484528","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Welfare Egalitarianism in Surplus-Sharing Problems and Convex Games 剩余分享问题和凸对策中的福利平均主义

Mathematics eJournal Pub Date : 2019-03-19 DOI: 10.2139/ssrn.3355484

P. Calleja, Francesc Llerena, Peter Sudhölter

引用次数: 1

Bias Regularization in Neural Network Models for General Insurance Pricing 一般保险定价神经网络模型的偏差正则化

Mathematics eJournal Pub Date : 2019-03-05 DOI: 10.2139/ssrn.3347177

Mario V. Wuthrich

引用次数: 1

Testing for Asset Price Bubbles: An Invariance Theorem 资产价格泡沫的检验:一个不变性定理

Mathematics eJournal Pub Date : 2019-03-01 DOI: 10.2139/ssrn.3348043

R. Jarrow, P. Protter, J. San Martín

引用次数: 3

A Study on the Performance Impact of Garment Manufacturing Firms Based on Green Supply Chains 基于绿色供应链的服装制造企业绩效影响研究

Mathematics eJournal Pub Date : 2019-02-25 DOI: 10.16980/JITC.15.1.201902.57

Jian Li, Yong-Seok Seo

{"title":"A Study on the Performance Impact of Garment Manufacturing Firms Based on Green Supply Chains","authors":"Jian Li, Yong-Seok Seo","doi":"10.16980/JITC.15.1.201902.57","DOIUrl":"https://doi.org/10.16980/JITC.15.1.201902.57","url":null,"abstract":"This study analyzes the situation of garment manufacturing in Jiangsu province, and the problems of green supply chain management based on the understanding of the present situation of green supply chain management theory at home and abroad in order to increase the understanding of cooperative supply chains between Korea and China. Through a questionnaire survey on the constraints of green supply chain management in the Jiangsu clothing manufacturing industry, the relationship between green supply chain management (green purchasing, green production, green recovery), green competitiveness, and the enterprise performance of the garment manufacturing industry in the Jiangsu coastal area are studied using the SPSS21.0 and AMOS21.0 statistical tools. It was found that there are significant positive effects between green procurement, green production, green recycling, and enterprise green competitiveness, significant positive effects between green procurement, green production, green recycling, and enterprise environmental benefits, and significant positive effects between green production, green recycling, and enterprise environmental benefits. Finally, some suggestions are put forward to promote green supply chain management in garment manufacturing enterprises.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124088599","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Perturbative Solution of GARCH(1,1) model within the Many-Body Theory 多体理论中GARCH(1,1)模型的微扰解

Mathematics eJournal Pub Date : 2019-02-12 DOI: 10.2139/ssrn.3332819

O. Sharia

引用次数: 0

Determining Distribution for the Product of Random Variables by Using Copulas 用copula确定随机变量乘积的分布

Mathematics eJournal Pub Date : 2019-01-31 DOI: 10.2139/ssrn.3430862

S. Ly, Kim-Hung Pho, S. Ly, W. Wong

{"title":"Determining Distribution for the Product of Random Variables by Using Copulas","authors":"S. Ly, Kim-Hung Pho, S. Ly, W. Wong","doi":"10.2139/ssrn.3430862","DOIUrl":"https://doi.org/10.2139/ssrn.3430862","url":null,"abstract":"Determining distributions of the functions of random variables is one of the most important problems in statistics and applied mathematics because distributions of functions have wide range of applications in numerous areas in economics, finance, risk management, science, and others. However, most studies only focus on the distribution of independent variables or focus on some common distributions such as multivariate normal joint distributions for the functions of dependent random variables. To bridge the gap in the literature, in this paper, we first derive the general formulas to determine both density and distribution of the product for two or more random variables via copulas to capture the dependence structures among the variables. We then propose an approach combining Monte Carlo algorithm, graphical approach, and numerical analysis to efficiently estimate both density and distribution. We illustrate our approach by examining the shapes and behaviors of both density and distribution of the product for two log-normal random variables on several different copulas, including Gaussian, Student-t, Clayton, Gumbel, Frank, and Joe Copulas, and estimate some common measures including Kendall’s coefficient, mean, median, standard deviation, skewness, and kurtosis for the distributions. We found that different types of copulas affect the behavior of distributions differently. In addition, we also discuss the behaviors via all copulas above with the same Kendall’s coefficient. Our results are the foundation of any further study that relies on the density and cumulative probability functions of product for two or more random variables. Thus, the theory developed in this paper is useful for academics, practitioners, and policy makers.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115426907","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 29