Obtaining and Predicting the Bounds of Realized Correlations

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ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Obtaining and Predicting the Bounds of Realized Correlations by : Lidan Grossmass

Download or read book Obtaining and Predicting the Bounds of Realized Correlations written by Lidan Grossmass and published by . This book was released on 2013 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of estimation of realized correlation, which is analogous to realized covariance, is compounded by effects of market microstructure, noise, and asynchronous trading. Various methods have been proposed to decrease the biases, but they require assumptions to be made that may be unrealistic. This paper argues that the inherent data problems make precise point identification of realized correlation difficult, but identification bounds in the spirit of Manski (1995) can be derived. These identification bounds allow for a more robust approach to inference, especially when the realized correlation is used for estimating other risk measures. We forecast the identification bounds using the HAR model of Corsi (2003) using data during the year of onset of the credit crisis, and find that the bounds provide good predictive coverage of the realized correlation for both one step and ten step forecasts, even in volatile periods.

Volatility and Correlation

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Publisher : John Wiley & Sons
ISBN 13 : 0470091401
Total Pages : 864 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Volatility and Correlation by : Riccardo Rebonato

Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

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Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Bayesian Signal Processing

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Publisher : John Wiley & Sons
ISBN 13 : 1119125472
Total Pages : 638 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Bayesian Signal Processing by : James V. Candy

Download or read book Bayesian Signal Processing written by James V. Candy and published by John Wiley & Sons. This book was released on 2016-06-20 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents the Bayesian approach to statistical signal processing for a variety of useful model sets This book aims to give readers a unified Bayesian treatment starting from the basics (Baye’s rule) to the more advanced (Monte Carlo sampling), evolving to the next-generation model-based techniques (sequential Monte Carlo sampling). This next edition incorporates a new chapter on “Sequential Bayesian Detection,” a new section on “Ensemble Kalman Filters” as well as an expansion of Case Studies that detail Bayesian solutions for a variety of applications. These studies illustrate Bayesian approaches to real-world problems incorporating detailed particle filter designs, adaptive particle filters and sequential Bayesian detectors. In addition to these major developments a variety of sections are expanded to “fill-in-the gaps” of the first edition. Here metrics for particle filter (PF) designs with emphasis on classical “sanity testing” lead to ensemble techniques as a basic requirement for performance analysis. The expansion of information theory metrics and their application to PF designs is fully developed and applied. These expansions of the book have been updated to provide a more cohesive discussion of Bayesian processing with examples and applications enabling the comprehension of alternative approaches to solving estimation/detection problems. The second edition of Bayesian Signal Processing features: “Classical” Kalman filtering for linear, linearized, and nonlinear systems; “modern” unscented and ensemble Kalman filters: and the “next-generation” Bayesian particle filters Sequential Bayesian detection techniques incorporating model-based schemes for a variety of real-world problems Practical Bayesian processor designs including comprehensive methods of performance analysis ranging from simple sanity testing and ensemble techniques to sophisticated information metrics New case studies on adaptive particle filtering and sequential Bayesian detection are covered detailing more Bayesian approaches to applied problem solving MATLAB® notes at the end of each chapter help readers solve complex problems using readily available software commands and point out other software packages available Problem sets included to test readers’ knowledge and help them put their new skills into practice Bayesian Signal Processing, Second Edition is written for all students, scientists, and engineers who investigate and apply signal processing to their everyday problems.

Modern Quantum Mechanics

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Publisher : Cambridge University Press
ISBN 13 : 1108527426
Total Pages : 570 pages
Book Rating : 4.1/5 (85 download)

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Book Synopsis Modern Quantum Mechanics by : J. J. Sakurai

Download or read book Modern Quantum Mechanics written by J. J. Sakurai and published by Cambridge University Press. This book was released on 2017-09-21 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Quantum Mechanics is a classic graduate level textbook, covering the main quantum mechanics concepts in a clear, organized and engaging manner. The author, Jun John Sakurai, was a renowned theorist in particle theory. The second edition, revised by Jim Napolitano, introduces topics that extend the text's usefulness into the twenty-first century, such as advanced mathematical techniques associated with quantum mechanical calculations, while at the same time retaining classic developments such as neutron interferometer experiments, Feynman path integrals, correlation measurements, and Bell's inequality. A solution manual for instructors using this textbook can be downloaded from www.cambridge.org/9781108422413.

Bound Volume of Technical Papers on Structures

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Publisher :
ISBN 13 :
Total Pages : 280 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Bound Volume of Technical Papers on Structures by :

Download or read book Bound Volume of Technical Papers on Structures written by and published by . This book was released on 1970 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Economic Forecasting

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Publisher : Elsevier
ISBN 13 : 0444627405
Total Pages : 667 pages
Book Rating : 4.4/5 (446 download)

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Book Synopsis Handbook of Economic Forecasting by : Graham Elliott

Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics

Analysis of the Electric Dipole Moment in the R-parity Violating Supersymmetric Standard Model

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Publisher : Springer Science & Business Media
ISBN 13 : 4431545441
Total Pages : 218 pages
Book Rating : 4.4/5 (315 download)

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Book Synopsis Analysis of the Electric Dipole Moment in the R-parity Violating Supersymmetric Standard Model by : Nodoka Yamanaka

Download or read book Analysis of the Electric Dipole Moment in the R-parity Violating Supersymmetric Standard Model written by Nodoka Yamanaka and published by Springer Science & Business Media. This book was released on 2013-11-09 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis the author discusses the phenomenology of supersymmetric models by means of experimental data set analysis of the electric dipole moment. There is an evaluation of the elementary processes contributing to the electric dipole moments within R-parity-violating supersymmetry, which call for higher-order perturbative computations. A new method based on linear programming is developed and for the first time the non-trivial parameter space of R-parity violation respecting the constraints from existing experimental data of the electric dipole moment is revealed. As well, the impressive efficiency of the new method in scanning the parameter space of the R-parity-violating sector is effectively demonstrated. This new method makes it possible to extract from the experimental data a more reliable constraint on the R-parity violation.

Paper

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Publisher :
ISBN 13 :
Total Pages : 454 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Paper by :

Download or read book Paper written by and published by . This book was released on 2000 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Anticipating Correlations

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Publisher : Princeton University Press
ISBN 13 : 1400830192
Total Pages : 176 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Anticipating Correlations by : Robert Engle

Download or read book Anticipating Correlations written by Robert Engle and published by Princeton University Press. This book was released on 2009-01-19 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.

Artificial Intelligence Enabled Computational Methods for Smart Grid Forecast and Dispatch

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Publisher : Springer Nature
ISBN 13 : 9819907993
Total Pages : 271 pages
Book Rating : 4.8/5 (199 download)

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Book Synopsis Artificial Intelligence Enabled Computational Methods for Smart Grid Forecast and Dispatch by : Yuanzheng Li

Download or read book Artificial Intelligence Enabled Computational Methods for Smart Grid Forecast and Dispatch written by Yuanzheng Li and published by Springer Nature. This book was released on 2023-05-05 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the increasing penetration of renewable energy and distributed energy resources, smart grid is facing great challenges, which could be divided into two categories. On the one hand, the endogenous uncertainties of renewable energy and electricity load lead to great difficulties in smart grid forecast. On the other hand, massive electric devices as well as their complex constraint relationships bring about significant difficulties in smart grid dispatch. Owe to the rapid development of artificial intelligence in recent years, several artificial intelligence enabled computational methods have been successfully applied in the smart grid and achieved good performances. Therefore, this book is concerned with the research on the key issues of artificial intelligence enabled computational methods for smart grid forecast and dispatch, which consist of three main parts. (1) Introduction for smart grid forecast and dispatch, in inclusion of reviewing previous contribution of various research methods as well as their drawbacks to analyze characteristics of smart grid forecast and dispatch. (2) Artificial intelligence enabled computational methods for smart grid forecast problems, which are devoted to present the recent approaches of deep learning and machine learning as well as their successful applications in smart grid forecast. (3) Artificial intelligence enabled computational methods for smart grid dispatch problems, consisting of edge-cutting intelligent decision-making approaches, which help determine the optimal solution of smart grid dispatch. The book is useful for university researchers, engineers, and graduate students in electrical engineering and computer science who wish to learn the core principles, methods, algorithms, and applications of artificial intelligence enabled computational methods.

Dissertation Abstracts International

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Publisher :
ISBN 13 :
Total Pages : 788 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Dissertation Abstracts International by :

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2004 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt:

From Charpy to Present Impact Testing

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Publisher : Elsevier
ISBN 13 : 008052897X
Total Pages : 497 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis From Charpy to Present Impact Testing by : D. Francois

Download or read book From Charpy to Present Impact Testing written by D. Francois and published by Elsevier. This book was released on 2002-06-18 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: From Charpy to Present Impact Testing contains 52 peer-reviewed papers selected from those presented at the Charpy Centenary Conference held in Poitiers, France, 2-5 October 2001. The name of Charpy remains associated with impact testing on notched specimens. At a time when many steam engines exploded, engineers were preoccupied with studying the resistance of steels to impact loading. The Charpy test has provided invaluable indications on the impact properties of materials. It revealed the brittle ductile transition of ferritic steels. The Charpy test is able to provide more quantitative results by instrumenting the striker, which allows the evolution of the applied load during the impact to be determined. The Charpy test is of great importance to evaluate the embrittlement of steels by irradiation in nuclear reactors. Progress in computer programming has allowed for a computer model of the test to be developed; a difficult task in view of its dynamic, three dimensional, adiabatic nature. Together with precise observations of the processes of fracture, this opens the possibility of transferring quantitatively the results of Charpy tests to real components. This test has also been extended to materials other than steels, and is also frequently used to test polymeric materials. Thus the Charpy test is a tool of great importance and is still at the root of a number of investigations; this is the reason why it was felt that the centenary of the Charpy test had to be celebrated. The Société Française de Métallurgie et de Matériaux decided to organise an international conference which was put under the auspices of the European Society for the Integrity of Structures (ESIS). This Charpy Centenary Conference (CCC 2001) was held in Poitiers, at Futuroscope in October 2001. More than 150 participants from 17 countries took part in the discussions and about one hundred presentations were given. An exhibition of equipment showed, not only present day testing machines, but also one of the first Charpy pendulums, brought all the way from Imperial College in London. From Charpy to Present Impact Testing puts together a number of significant contributions. They are classified into 6 headings: •Keynote lectures, •Micromechanisms, •Polymers, •Testing procedures, •Applications, •Modelling.

Practical Statistics for Data Scientists

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Publisher : "O'Reilly Media, Inc."
ISBN 13 : 1491952911
Total Pages : 322 pages
Book Rating : 4.4/5 (919 download)

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Book Synopsis Practical Statistics for Data Scientists by : Peter Bruce

Download or read book Practical Statistics for Data Scientists written by Peter Bruce and published by "O'Reilly Media, Inc.". This book was released on 2017-05-10 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical methods are a key part of of data science, yet very few data scientists have any formal statistics training. Courses and books on basic statistics rarely cover the topic from a data science perspective. This practical guide explains how to apply various statistical methods to data science, tells you how to avoid their misuse, and gives you advice on what's important and what's not. Many data science resources incorporate statistical methods but lack a deeper statistical perspective. If you’re familiar with the R programming language, and have some exposure to statistics, this quick reference bridges the gap in an accessible, readable format. With this book, you’ll learn: Why exploratory data analysis is a key preliminary step in data science How random sampling can reduce bias and yield a higher quality dataset, even with big data How the principles of experimental design yield definitive answers to questions How to use regression to estimate outcomes and detect anomalies Key classification techniques for predicting which categories a record belongs to Statistical machine learning methods that “learn” from data Unsupervised learning methods for extracting meaning from unlabeled data

Developments in Ground Control in Mining 1981-2020

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Publisher : Society for Mining, Metallurgy & Exploration
ISBN 13 : 0873354990
Total Pages : 434 pages
Book Rating : 4.8/5 (733 download)

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Book Synopsis Developments in Ground Control in Mining 1981-2020 by : Syd S. Peng

Download or read book Developments in Ground Control in Mining 1981-2020 written by Syd S. Peng and published by Society for Mining, Metallurgy & Exploration. This book was released on 2022-06-03 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: The best of ground control technology, 40 years in the making. Developments in Ground Control summarizes the objectives, methodology used, and major conclusions reached from papers presented and published in the International Conference on Ground Control in Mining (ICGCM) proceedings from 1981 to 2020. Because the subject areas of the papers published in the proceedings are so broad, ranging from accident training and coal/rock bursts to geology, pillar, multiseam mining, in situ stresses, roof falls, and roof supports to surface subsidence, the papers were grouped into 13 aggregate topics and addressed separately in 13 book chapters by 13 authors from 4 countries. These book chapters are a fresh look at the topics, providing new insights, sourcing older papers, and summarizing data. This is an enormous help for those seeking information on ground control. There were 1,795 papers in the 40 years of ICGCM proceedings in more than 40 ground control topical areas. It would certainly be very time consuming if not impossible to find the right papers of interest in a timely manner. This book makes it easy for interested people to find the progress, application, and achievements of certain techniques from the past 40 years and how they affected the field of ground control and the world mining industry, in particular, the United States. Generally speaking, most researchers tend to favor recent developments when performing a literature search, ignoring or considering old papers outdated. In contrast, over the last 40 years, most research findings for a specific topic in ICGCM received continuing attention for subsequent development or repeated citations if applications were successful.

Scientific and Technical Aerospace Reports

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Publisher :
ISBN 13 :
Total Pages : 518 pages
Book Rating : 4.:/5 (319 download)

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Book Synopsis Scientific and Technical Aerospace Reports by :

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1993 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Conference Record

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Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Conference Record by :

Download or read book Conference Record written by and published by . This book was released on 1995 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: