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pro vyhledávání: '"HJM model"'
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Akademický článek
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Autor:
Josheski, Dushko, Apostolov, Mico
Publikováno v:
Ekonometria / Econometrics. 25(3):42-71
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=985277
Publikováno v:
Finance and Stochastics. 24:465-511
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in correspondence to monet
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f0f6bc3b3355f00fe82060f1a49bff4
https://doi.org/10.1007/s00780-020-00416-5
https://doi.org/10.1007/s00780-020-00416-5
Publikováno v:
Gong-kuang zidonghua, Vol 36, Iss 5, Pp 37-40 (2010)
On the basis of financial HJM model and Monte Carlo method and by use of powerful data analysis ability of Microsoft Excel,historical data of gas concentration was analyzed and then a practical rule of gas overflow was gotten,so as to realize predict
Externí odkaz:
https://doaj.org/article/0f170d9b7a874160bc230153e11f3b90
Publikováno v:
Frontiers in Applied Mathematics and Statistics, Vol 1 (2015)
In this paper we assess the partial hedging problems by formulating hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio loss under stochastic interest rate environment. The combination of stochastic interest and CVaR he
Externí odkaz:
https://doaj.org/article/872aa72fd50f4dbd902fc60630ffac2c
Autor:
Mauad, Roberto Baltieri
Modelos bastante utilizados atualmente no apreçamento de derivativos de taxas de juros realizam, muitas vezes, premissas excessivamente restritivas com relação à volatilidade da série do ativo objeto. O método de Black and Scholes e o de Vasice
Autor:
Carlo Marinelli, Luca Scarpa
Publikováno v:
Geometry and Invariance in Stochastic Dynamics ISBN: 9783030874315
We provide sufficient conditions on the coefficients of a stochastic evolution equation on a Hilbert space of functions driven by a cylindrical Wiener process ensuring that its mild solution is positive if the initial datum is positive. As an applica
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::76c58759b1302381fc70c1218a4fe34c
http://hdl.handle.net/11311/1204407
http://hdl.handle.net/11311/1204407
Publikováno v:
Risks, Vol 4, Iss 3, p 18 (2016)
The discrete-time multifactor Vasiček model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an appropriate way. In pra
Externí odkaz:
https://doaj.org/article/6f2ba7c13aec4b7f80074267dcf96d53
Publikováno v:
Finance and Stochastics
Finance and Stochastics, 2016, 20 (2), pp.267-320
Finance and Stochastics, Springer Verlag (Germany), 2016, 20 (2), pp.267-320
Finance and Stochastics, 2016, 20 (2), pp.267-320
Finance and Stochastics, Springer Verlag (Germany), 2016, 20 (2), pp.267-320
We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between FRA ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc2edc2fc28e94cc82bbb0280b853d7a
https://research.wu.ac.at/de/publications/5957f5ea-ba7e-4a65-bee6-ab4ba9e58b0f
https://research.wu.ac.at/de/publications/5957f5ea-ba7e-4a65-bee6-ab4ba9e58b0f