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Author : Stuart McDonald
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.3/5 (91 download)
Download or read book Numerical Simulation of the Term Structure of Interest Rates Using a Random Field written by Stuart McDonald and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Goldstein
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (389 download)
Download or read book The Term Structure of Interest Rates as a Random Field written by Robert Goldstein and published by . This book was released on 1997 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert S. Goldstein
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Term Structure of Interest Rates as a Random Field written by Robert S. Goldstein and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Note: This abstract was revised by the author since June 1997.Forward rate dynamics are modeled as a random field. In contrast to multi-factor models, random field models offer a parsimonious description of term structure dynamics, while eliminating the self-inconsistent practice of recalibration. The form of the drift of the instantaneous forward rate process necessary to preclude arbitrage under the risk neutral measure is obtained. Forward measures are characterized, and used to price a bond option when the forward volatility structure depends upon the square root of the current spot rate. In addition, it is demonstrated that random field models offer a parsimonious method to account for parameter uncertainty, inherently predicting that the best hedging instrument for a given asset is one of similar maturity. Finally, a random field is shown to be supported within a general equilibrium framework, allowing the risk-neutral measure and risk premia to be identified.
Author : Rajna Gibson
Publisher : Now Publishers Inc
ISBN 13 : 1601983727
Total Pages : 171 pages
Book Rating : 4.6/5 (19 download)
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author : Robert Sterling Goldstein
Publisher :
ISBN 13 :
Total Pages : 194 pages
Book Rating : 4.:/5 (33 download)
Download or read book Some Models of the Term Structure of Interest Rates written by Robert Sterling Goldstein and published by . This book was released on 1996 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stuart McDonald
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.3/5 (91 download)
Download or read book Using Simulated Annealing to Compute the Trembles of Trembling Hand Perfection written by Stuart McDonald and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Howard E. Doran
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 (91 download)
Download or read book Imposing Observation-varying Equality Constraints Using Generalised Restricted Least Squares written by Howard E. Doran and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Solves the problem of Restricted Least Squares by developing a new estimator that collapses RLS in cases where the restrictions are observation invariant.
Author : Ole E. Barndorff-Nielsen
Publisher : Springer
ISBN 13 : 3319941291
Total Pages : 402 pages
Book Rating : 4.3/5 (199 download)
Download or read book Ambit Stochastics written by Ole E. Barndorff-Nielsen and published by Springer. This book was released on 2018-11-01 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.
Author : Jiro Akahori
Publisher : World Scientific
ISBN 13 : 9814483095
Total Pages : 410 pages
Book Rating : 4.8/5 (144 download)
Download or read book Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium written by Jiro Akahori and published by World Scientific. This book was released on 2004-07-06 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
Author :
Publisher : World Scientific
ISBN 13 : 9812702857
Total Pages : 410 pages
Book Rating : 4.8/5 (127 download)
Download or read book Stochastic Processes and Applications to Mathematical Finance written by and published by World Scientific. This book was released on 2004 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L(r)vy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in: OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings)OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)OCo CC Proceedings OCo Engineering & Physical Sciences"
Author : Jiro Akahori
Publisher : World Scientific
ISBN 13 : 9812387781
Total Pages : 410 pages
Book Rating : 4.8/5 (123 download)
Download or read book Stochastic Processes and Applications to Mathematical Finance written by Jiro Akahori and published by World Scientific. This book was released on 2004 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.
Author : Guy R. West
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 (91 download)
Download or read book Structural Change, Intersectoral Linkages and Hollowing-out in the Taiwanese Economy, 1976-1994 written by Guy R. West and published by . This book was released on 2003 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Erwin Bolthausen
Publisher : Birkhäuser
ISBN 13 : 3034870264
Total Pages : 392 pages
Book Rating : 4.0/5 (348 download)
Download or read book Seminar on Stochastic Analysis, Random Fields and Applications written by Erwin Bolthausen and published by Birkhäuser. This book was released on 2012-12-06 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pure and applied stochastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to stochastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.
Author : Francois Lhabitant
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (129 download)
Download or read book Modeling the Term Structure of Interest Rates written by Francois Lhabitant and published by . This book was released on 2001 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last two decades have seen the development of a profusion of theoretical models of the term structure of interest rates. This study provides a general overview and a comprehensive comparative study of the most popular ones among both academics and practitioners. It also discusses their respective advantages and disadvantages in terms of bond and/or interest rate contingent claims continuous time valuation or hedging, parameter estimation, and calibration. Finally, it proposes a unified approach for model risk assessment. Despite the relatively complex mathematics involved, financial intuition rather then mathematical rigour is emphasised throughout. The classification by means of general characteristics should enable the understanding of the different features of each model, facilitate the choice of a model in specific theoretical or empirical circumstances, and allows the testing of various models with nested as well as non-nested specifications.
Author : Rodney Beard
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.3/5 (91 download)
Download or read book Comparing Income Distributions Between Economies that Reward Innovation and Those that Reward Knowledge written by Rodney Beard and published by . This book was released on 2002 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : A. J. Makin
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.3/5 (91 download)
Download or read book Feasible Limits for External Deficits and Debt written by A. J. Makin and published by . This book was released on 2003 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. J. Robinson
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 (91 download)
Download or read book Estimating Preferences for Water Quality Improvements Using a Citizens' Jury and Choice Modelling written by J. J. Robinson and published by . This book was released on 2002 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study informed members of the community about water quality issues in the catchment and then solicited their opinions about whether more resources should be devoted towards it.
