Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Ann De Schepper"'
Autor:
Frederik Michiels, Ann De Schepper
Publikováno v:
Journal of computational and graphical statistics
The selection of copulas is an important aspect of dependence modeling. In many practical applications, only a limited number of copulas is tested, and the modeling applications usually are restricted to the bivariate case. One explanation is the fac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::34f93d1fc6d3a057ab9933b02ab1f46a
https://doi.org/10.1080/10618600.2012.672080
https://doi.org/10.1080/10618600.2012.672080
Publikováno v:
Financial history review
In this article, we calculate a market-weighted return index for the 20 largest stocks listed on the Brussels Stock Exchange over the period 1833–2005, based on a new, unique and high-quality database. We find that this index captures the most impo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a156c7b422d81d6f514dc266cacc8c3c
https://doi.org/10.1017/s0968565011000187
https://doi.org/10.1017/s0968565011000187
Autor:
Ann De Schepper, Ann Lammens
Publikováno v:
Denkbeeld. 23:8-11
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1f943f64a19798411f1eefbee9a058f2
https://doi.org/10.1007/s12428-011-0018-5
https://doi.org/10.1007/s12428-011-0018-5
Autor:
Marc Decamps, Ann De Schepper
Publikováno v:
Physica: A: theoretical and statistical physics
Under most local and stochastic volatility models the underlying forward is assumed to be a positive function of a time-changed Brownian motion. It relates nicely the implied volatility smile to the so-called activity rate in the market. Following Yo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::83f8ce8f9305a461cfbaa3cc60a81a5a
https://doi.org/10.1016/j.physa.2010.04.014
https://doi.org/10.1016/j.physa.2010.04.014
Publikováno v:
Physica: A: theoretical and statistical physics
Physica A : Statistical Mechanics and its Applications, 342(3-4), 677-692. Elsevier
Physica A : Statistical Mechanics and its Applications, 342(3-4), 677-692. Elsevier
In the recent econophysics literature, the use of functional integrals is widespread for the calculation of option prices. In this paper, we extend this approach in several directions by means of δ-function perturbations. First, we show that results
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::691741cb3f34a23335ac08edd42ed077
https://dare.uva.nl/personal/pure/en/publications/applications-of-deltafunctions-perturbation-to-the-pricing-of-derivative-securities(e869ccb6-1bc9-4b55-a9d1-1de09d4d9215).html
https://dare.uva.nl/personal/pure/en/publications/applications-of-deltafunctions-perturbation-to-the-pricing-of-derivative-securities(e869ccb6-1bc9-4b55-a9d1-1de09d4d9215).html
Publikováno v:
Communications in statistics : theory and methods
We introduce and discuss a general method for constructing bivariate Archimedean copula families. The central item in our method is the function [image omitted] (t ∈ [0, 1]), where ϕ is the generator of the Archimedean copula. The construction of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8de7453439ca537105e59fcce4230e73
https://hdl.handle.net/10067/897000151162165141
https://hdl.handle.net/10067/897000151162165141
Publikováno v:
Journal of Economic Dynamics & Control, 33(3), 710-724. Elsevier
Journal of economic dynamics and control
Journal of economic dynamics and control
This paper concerns optimal asset-liability management when the assets and the liabilities are modeled by means of correlated geometric Brownian motions as suggested in Gerber and Shiu [2003. Geometric Brownian motion models for assets and liabilitie
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::137a1ec1dcb36b4c1b8388ed59cad04e
https://lirias.kuleuven.be/handle/123456789/202162
https://lirias.kuleuven.be/handle/123456789/202162
Autor:
Ann De Schepper, Marc Decamps
Publikováno v:
SSRN Electronic Journal.
In this paper, we develop asymptotic formulas for long-dated Foreign Exchange (FX) and swaptions implied volatilities. We extend the method exposed in Decamps and De Schepper (2009b) to a generic model with time-dependent parameters. Imposing a condi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8c73804fabf6e841ead56758dc08b1ce
https://doi.org/10.2139/ssrn.1514294
https://doi.org/10.2139/ssrn.1514294
Autor:
Marc Decamps, Ann De Schepper
Publikováno v:
SSRN Electronic Journal.
In this note, we present a novel approach to derive asymptotics for Black implied volatilities under the same generic model as proposed in Antonov and Misirpashaev (2009). We perform a time substitution as used by Duru and Kleinert (1979) to calculat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee0e16fc4b011c0aa556cad18bf620d2
https://doi.org/10.2139/ssrn.1279363
https://doi.org/10.2139/ssrn.1279363
Autor:
Michiels, Frederik, Ann De Schepper
Publikováno v:
ResearcherID
Kybernetika
Kybernetika
We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we explain how an efficient copula test space can be constructed by taking into account information about the existing dependence. Although
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::5b97daa1fc38c69a27a885c14b011fb6
https://repository.uantwerpen.be/docman/irua/12ff54/a0ec7a32.pdf
https://repository.uantwerpen.be/docman/irua/12ff54/a0ec7a32.pdf