Zobrazeno 1 - 3
of 3
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