From Model to Application: Calibration to Market Data

Autor:	Tilman Sayer, Jörg Wenzel
Rok vydání:	2015
Předmět:	Price equation Scope (project management) Computer science Calibration (statistics) Financial instrument Forward rate Market data Econometrics Context (language use) Implied volatility Industrial engineering
Zdroj:	FPGA Based Accelerators for Financial Applications ISBN: 9783319154060
DOI:	10.1007/978-3-319-15407-7_2
Popis:	We present the procedure of model calibration within the scope of financial applications. We discuss several models that are used to describe the movement of financial underlyings and state closed or semi-closed pricing formulas for basic financial instruments. Furthermore, we explain how these are used in a general calibration procedure with the purpose to determine sensible model parameters. Finally, we gather typical numerical issues that often arise in the context of calibration and that have to be handled with care.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ff2905eccdd1e227ca16e11771d97e9b https://doi.org/10.1007/978-3-319-15407-7_2 Zobrazit plný text záznamu