Zobrazeno 1 - 10
of 425
pro vyhledávání: '"Kay Giesecke"'
Autor:
Burr, Barry B.
Publikováno v:
Pensions & Investments. 5/12/2008, Vol. 36 Issue 10, p20-22. 2p. 1 Color Photograph.
Autor:
Kay Giesecke, Alexander Shkolnik
Publikováno v:
Mathematics of Operations Research. 47:969-988
Stochastic point process models of event timing are common in many areas, including finance, insurance, and reliability. Monte Carlo simulation is often used to perform computations for these models. The standard sampling algorithm, which is based on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00f37a7f5c5e5e301785ab8c6a11fc9d
https://doi.org/10.1287/moor.2021.1156
https://doi.org/10.1287/moor.2021.1156
Autor:
Enguerrand Horel, Kay Giesecke
Publikováno v:
Proceedings of the Third ACM International Conference on AI in Finance.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e7acf405f1b6bf9c842477a376f351b7
https://doi.org/10.1145/3533271.3561713
https://doi.org/10.1145/3533271.3561713
Publikováno v:
Management Science, 68(3), 1591-1594. INFORMS Institute for Operations Research and the Management Sciences
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3c1abc54bf374144918237b23769413
https://pure.eur.nl/en/publications/2f54d16f-81d5-4a11-8046-41404a882598
https://pure.eur.nl/en/publications/2f54d16f-81d5-4a11-8046-41404a882598
Autor:
Kay Giesecke, Gustavo Schwenkler
Publikováno v:
Journal of Econometrics. 213:297-320
This paper develops an unbiased Monte Carlo approximation to the transition density of a jump–diffusion process with state-dependent drift, volatility, jump intensity, and jump magnitude. The approximation is used to construct a likelihood estimato
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3df3ea14e6663fc69616017314aa18fc
https://doi.org/10.1016/j.jeconom.2019.01.015
https://doi.org/10.1016/j.jeconom.2019.01.015
Autor:
Kay Giesecke, Justin Sirignano
Publikováno v:
Management Science. 65:107-121
Financial institutions, government-sponsored enterprises, and asset-backed security investors are often exposed to delinquency and prepayment risk from large numbers of loans. Examples include mortgages, credit cards, and auto, student, and business
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8df48bacdb0e305a97f495969178ec3
https://doi.org/10.1287/mnsc.2017.2947
https://doi.org/10.1287/mnsc.2017.2947
Publikováno v:
WSC
We develop and analyze Monte Carlo simulation estimators for path integrals of a multivariate diffusion with a general state-dependent drift and volatility. We prove that our estimators are unbiased and have finite variance by extending the regularit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c53efd86c26879a4efd80d1447fc7e3e
https://doi.org/10.1109/wsc48552.2020.9383881
https://doi.org/10.1109/wsc48552.2020.9383881
Publikováno v:
ICAIF
Many applications from the financial industry successfully leverage clustering algorithms to reveal meaningful patterns among a vast amount of unstructured financial data. However, these algorithms suffer from a lack of interpretability that is requi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::206cbd72a86a47c77fba111465368d8a
https://doi.org/10.1145/3383455.3422530
https://doi.org/10.1145/3383455.3422530
We treat the parameter estimation problem for mean‐field models of large interacting financial systems such as the banking system and a pool of assets held by an institution or backing a security. We develop an asymptotic inference approach that ad
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d45dc559b58df593db93d4ffad447b70
https://ora.ox.ac.uk/objects/uuid:46e23b1d-42d9-42ef-ad88-82db0ce384a3
https://ora.ox.ac.uk/objects/uuid:46e23b1d-42d9-42ef-ad88-82db0ce384a3
Publikováno v:
WSC
We develop and analyze an unbiased Monte Carlo estimator for a functional of a one-dimensional jump-diffusion process with a state-dependent drift, volatility, jump intensity and jump size. The approach combines a change of measure to sample the jump
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bd32c16231c6dc44c1ce0f05ab23d9a8
https://doi.org/10.1109/wsc40007.2019.9004767
https://doi.org/10.1109/wsc40007.2019.9004767