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pro vyhledávání: '"Yamakami, Tomohisa"'
Two formulations are proposed to filter out correlations in the residuals of the multivariate GARCH model. The first approach is to estimate the correlation matrix as a parameter and transform any joint distribution to have an arbitrary correlation m
Externí odkaz:
http://arxiv.org/abs/2411.08246
Autor:
Shiraya, Kenichiro, Yamakami, Tomohisa
Copulas are used to construct joint distributions in many areas. In some problems, it is necessary to deal with correlation structures that are more complicated than the commonly known copulas. A finite order multivariate Hermite polynomial expansion
Externí odkaz:
http://arxiv.org/abs/2301.10044
Autor:
Yamakami, Tomohisa, Takeuchi, Yuki
This paper describes a fast and stable algorithm for evaluating Bermudan swaption under the two factor Hull-White model. We discretize the calculation of the expected value in the evaluation of Bermudan swaption by numerical integration, and Gaussian
Externí odkaz:
http://arxiv.org/abs/2212.08250
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