Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Ralph Rudd"'
Publikováno v:
Risks, Vol 9, Iss 1, p 13 (2021)
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the mode
Externí odkaz:
https://doaj.org/article/8c8f5d66ea274a63a30a1b8575c81dfc
Autor:
Alex Backwell, Ralph Rudd
Publikováno v:
Applied Economics. 55:2060-2069
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8b11e5ee7ebedb771f55c58e724ae965
https://doi.org/10.1080/00036846.2022.2101608
https://doi.org/10.1080/00036846.2022.2101608
Publikováno v:
Atlantis Highlights in Engineering ISBN: 9789464631555
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e47f2763b9519fbcc8a238b0c63d642b
https://doi.org/10.2991/978-94-6463-156-2_3
https://doi.org/10.2991/978-94-6463-156-2_3
Publikováno v:
Journal of Credit Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be7241a172dadd72c8369eec3ce09f61
https://doi.org/10.21314/jcr.2022.012
https://doi.org/10.21314/jcr.2022.012
Publikováno v:
Risks, Vol 9, Iss 13, p 13 (2021)
Risks
Volume 9
Issue 1
Risks
Volume 9
Issue 1
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to recalibration of model parameters (in contradiction to the model as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65c69dfd3b6435c3ed8e125fd7b1f306
https://hdl.handle.net/10419/258103
https://hdl.handle.net/10419/258103
Recursive marginal quantization (RMQ) allows the construction of optimal discrete grids for approximating solutions to stochastic differential equations in d dimensions. Product Markovian quantization (PMQ) reduces this problem to d onedimensional qu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e80b084ba0349ac920250cce2a81638c
Publikováno v:
Quantitative Finance. 18:693-706
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large derivativ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1c9e8244e72472357223b0fe142fdd03
https://doi.org/10.1080/14697688.2017.1402125
https://doi.org/10.1080/14697688.2017.1402125
Publikováno v:
SSRN Electronic Journal.
The estimation of dynamic initial margin (DIM) for general portfolios is a challenging problem. The present paper describes an accurate new approach, based on regression, that uses Johnson-type distributions, which are fitted to conditional moments e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be9376d3bbbc982d34f47120d42160e5
https://doi.org/10.2139/ssrn.3147811
https://doi.org/10.2139/ssrn.3147811
Publikováno v:
SSRN Electronic Journal.
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive marginal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8982b059f81de86582ae7e81a3ad0a34
https://doi.org/10.2139/ssrn.3106631
https://doi.org/10.2139/ssrn.3106631
Publikováno v:
SSRN Electronic Journal.
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large derivativ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::057cf1808eb4c2e9479f9ad3cd3b5370
https://doi.org/10.2139/ssrn.2894753
https://doi.org/10.2139/ssrn.2894753