National Chiao-Tung University
Asian Option, Analytic Approximation, Floating strike, Moment Matching, Shifted Reciprocal Gamma.
discrete optimization, high frequency trading, liquidity, price impact, optimal execution
bank subordinated debt, prompt corrective action, capital forbearance, moral hazard, contingent claim analysis
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File name: j-6975.pdf
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Mortgage insurance; Default risk; Capital forbearance; Capital requirement; Time delay
Bid–ask spread, Discrete optimization, Financial transaction tax (FTT), Optimal trading, Price impact
Big financial data, DWT, High-frequency data, MODWT, Wavelet
Systemic Risk, MES, SRISK, CoVaR, financial crisis
File name: JBFA.pdf
bank capital requirement, asset correlation, book‐to‐market equity, firm size, default probability
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