Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Markus Trahe"'
Publikováno v:
SSRN Electronic Journal.
This paper describes a procedure for efficiently simulating a multi asset Heston model with an arbitrary correlation structure. Very little literature can be found on the topic (e.g. Wadman (2010) and Dimitroff et al. (2011)), the latter being very r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::191d906fdc06a838b69d8c42b4a472e5
https://doi.org/10.2139/ssrn.2729475
https://doi.org/10.2139/ssrn.2729475
Publikováno v:
SSRN Electronic Journal.
The tenor basis phenomenon became significant with the 2007 financial crisis and has altered the traditional way of one-curve pricing and risk management to a multi-curve phenomenon. The stochastic nature of basis spreads between curves particularly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7a7d56b274eb54bdc5601577f5847bf0
https://doi.org/10.2139/ssrn.2870698
https://doi.org/10.2139/ssrn.2870698
Publikováno v:
AIP Conference Proceedings.
We use a nonlinear neuronal network with decay and recovery of attractor eigenvalues, introduced by Kawamoto and Anderson. It shows oscillatory behavior, but delta-peaked switching time distributions. To match our experimental data, obtained with the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ea5b483ccf5b99b53149aacc1cc3c06
https://doi.org/10.1063/1.1302373
https://doi.org/10.1063/1.1302373
Autor:
Avdiu, Kujtim
Publikováno v:
Journal of Risk & Financial Management; Sep2023, Vol. 16 Issue 9, p415, 26p
Publikováno v:
Modern Derivatives Pricing & Credit Exposure Analysis (9781137494832); 2015, pi-xxxii, 32p
Publikováno v:
AIP Conference Proceedings; 2000, Vol. 502 Issue 1, p106, 6p, 5 Graphs
This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial deriva
