Search Results - subject:"FUNCTIONAL MODEL"

IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS

KENNEDY, JOANNE E.; PHAM, DUY - In: International Journal of Theoretical and Applied … 16 (2013) 05, pp. 1350030-1

for the driving Markov process of the one-dimensional swap Markov-functional model. We find that there is a strong …

Persistent link: https://www.econbiz.de/10010681252

Implications for hedging of the choice of driving process for one-factor Markov-functional models

Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51

Persistent link: https://www.econbiz.de/10009783994

Explosive behavior in a log-normal interest rate model

Pirjol, Dan - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10009780635

A Comparison of Single Factor Markov-Functional and Multi Factor Market Models

Pietersz, Raoul; Pelsser, Pelsser, A.A.J. - Erasmus Research Institute of Management (ERIM), … - 2005

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can be adequately riskmanaged with single factor models....

Persistent link: https://www.econbiz.de/10010731009

A Comparison of Single Factor Markov-Functional and Multi Factor Market Models

Pietersz, R.; Pelsser, A.A.J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005

, risicomanagement Free keywords Markov-functional model, market model, Bermudan swaption, terminal correlation, hedging, Greeks for … enables proper functioning of market models as risk-management tools. Key words: Markov-functional model, market model …), Dothan (1978), Black, Derman & Toy (1990), Ho & Lee (1986) and Hull & White (1990). The Markov-functional model of Hunt …

Persistent link: https://www.econbiz.de/10005288428

A functional linear model for time series prediction with exogenous variables

Goia, Aldo - In: Statistics & Probability Letters 82 (2012) 5, pp. 1005-1011

This note deals with the study of a functional linear model for time series prediction which combines a functional endogenous predictor and real and functional exogenous variables. A penalized B-spline type estimator for the real and functional coefficients is presented and some weak consistency...

Persistent link: https://www.econbiz.de/10010571773

A comparison of single factor Markov-functional and multi factor market models

Pietersz, Raoul; Pelsser, Antoon - In: Review of Derivatives Research 13 (2010) 3, pp. 245-272

Persistent link: https://www.econbiz.de/10008673723

Non-Existence of the First Moment of the Adjusted Least Squares Estimator in Multivariate Errors-in-Variables Model

Cheng, Chi-Lun; Kukush, Alexander - In: Metrika 64 (2006) 1, pp. 41-46

Persistent link: https://www.econbiz.de/10005756469

A Comparison of Single Factor Markov-functional and Multi Factor Market Models

Pietersz, Raoul; Pelsser, Antoon - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005561593