Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 2 of 2 for “"stochastic coefficients"”.
-
Exchange Rate Volatility and Bilateral Trade Flows: An Analysis of U.S. Demand for Certain Steel Products from Canada and Mexico
This empirical study uses stochastic coefficients econometric modeling to forecast real exchange rate volatility and examine how expected and unexpected volatility affect bilateral trade flows of certain steel products between Canada, Mexico and the United States using monthly data for the …
-
Dynamic hedging in illiquid financial markets
… Mathematically, this amounts to study various stochastic optimal control problems with suitable nonlinear dynamics. We introduce a price impact model which accounts for finite market depth, market tightness and finite resilience whose coupled bid- and ask-price dynamics induce convex liquidity …