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  • Search: subject:"Model Calibration"
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Year of publication
Subject
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Model calibration 39 model calibration 32 Optionspreistheorie 19 Option pricing theory 18 Theorie 14 Theory 14 Modellierung 12 Scientific modelling 12 Stochastic process 11 Stochastischer Prozess 11 Derivat 9 Derivative 9 Volatility 8 Volatilität 8 Credit risk 7 Kreditrisiko 6 Yield curve 6 Zinsstruktur 6 Model Calibration 5 Schätztheorie 4 credit risk 4 Basel Accord 3 Basler Akkord 3 Credit rating 3 Estimation theory 3 Kreditwürdigkeit 3 Markov chain 3 Markov-Kette 3 Mathematical programming 3 Mathematische Optimierung 3 Option pricing 3 Option trading 3 Optionsgeschäft 3 Probability theory 3 Risiko 3 Risk 3 Simulation 3 Wahrscheinlichkeitsrechnung 3 derivatives 3 option pricing 3
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Online availability
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Undetermined 51 Free 22 CC license 2
Type of publication
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Article 66 Book / Working Paper 16 Other 1
Type of publication (narrower categories)
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Article in journal 34 Aufsatz in Zeitschrift 34 Graue Literatur 4 Non-commercial literature 4 Working Paper 4 Article 3 Arbeitspapier 2
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Language
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English 45 Undetermined 38
Author
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Pirotte, Hugues 3 Schlögl, Erik 3 Baker, Christopher 2 Baldeaux, Jan 2 Bettendorf, Leon 2 Brunner, Bernhard 2 Büchel, Patrick 2 Cossin, Didier 2 Feng, Yu 2 Gesualdo, Maria 2 Grasselli, Martino 2 Grith, Maria 2 Kaeck, Andreas 2 Kratochwil, Michael 2 Krayzler, Mikhail 2 Krätschmer, Volker 2 Loretz, Simon 2 Mashalaba, Qaphela 2 Mavuso, Melusi 2 Nagl, Maximilian 2 Platen, Eckhard 2 Pontikakis, Dimitrios 2 Pycroft, Jonathan 2 Rauch, Johannes 2 Rubtsov, Mark 2 Rudd, Ralph 2 Rösch, Daniel 2 Zagst, Rudi 2 AitSahlia, Farid 1 Alfarano, Simone 1 Alvarez Martinez, Maria Teresa 1 Annandale, John G. 1 Ascarza, Eva 1 Aste, Niccolò 1 BORMETTI, GIACOMO 1 Ballotta, Laura 1 Barone, Gaia 1 Barrios Cobos, Salvador 1 Barrios, Salvador 1 Baviera, Roberto 1
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Institution
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Centre Emile Bernheim, Solvay Brussels School of Economics and Management 2 Internationaler Währungsfonds 2 Department of Economics, University of Victoria 1 EconWPA 1 Ehrvervøkonomisk Institut, Institut for Økonomi 1 HAL 1 International Association of Agricultural Economists - IAAE 1 London School of Economics (LSE) 1 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
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Published in...
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Agricultural Water Management 4 Quantitative Finance 4 Quantitative finance 4 European journal of operational research : EJOR 3 Water Resources Management 3 Applied Energy 2 Energy 2 IMF country report 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 International journal of financial engineering 2 Mathematics and Computers in Simulation (MATCOM) 2 Risks : open access journal 2 The journal of risk model validation 2 Working Papers CEB 2 2009 Conference, August 16-22, 2009, Beijing, China 1 ASTIN bulletin : the journal of the International Actuarial Association 1 Annals of the Institute of Statistical Mathematics 1 Cambridge journal of economics 1 Computational Management Science 1 Digital finance : smart data analytics, investment innovation, and financial technology 1 European Journal of Operational Research 1 Finance 1 Finance Working Papers 1 Health care management science 1 IEEE transactions on engineering management : EM ; a publication of the IEEE Engineering Management Society 1 International Journal of Global Environmental Issues 1 International Review of Financial Analysis 1 International journal of production research 1 International journal of theoretical and applied finance 1 International review of financial analysis 1 JRC Working Papers on Taxation and Structural Reforms 1 JRC working papers on taxation and structural reforms 1 Journal of Artificial Societies and Social Simulation 1 Journal of Banking & Finance 1 Journal of Economic Dynamics and Control 1 Journal of banking & finance 1 Journal of economic dynamics & control 1 Journal of mathematical finance 1 Journal of risk 1 LSE Research Online Documents on Economics 1
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Source
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RePEc 39 ECONIS (ZBW) 38 EconStor 5 BASE 1
Showing 61 - 70 of 83
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Evaluation of the AquaCrop model for simulating the impact of water deficits and different irrigation regimes on the biomass and yield of winter wheat grown on China's Loess Plateau
Xiangxiang, Wang; Quanjiu, Wang; Jun, Fan; Qiuping, Fu - In: Agricultural Water Management 129 (2013) C, pp. 95-104
Accurate models of crop growth are important for evaluating the effects of water deficits on crop yield or productivity. AquaCrop was developed by the FAO (Food and Agricultural Organization) of the United Nations to simulate yield responses to changes in the supply of water. The objectives of...
Persistent link: https://www.econbiz.de/10010702920
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Asymmetry in the jump-size distribution of the S&P 500 : evidence from equity and option markets
Kaeck, Andreas - In: Journal of economic dynamics & control 37 (2013) 9, pp. 1872-1888
Persistent link: https://www.econbiz.de/10009786062
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Pricing of derivatives on commodity indices
Rauch, Johannes; Krayzler, Mikhail; Brunner, Bernhard; … - In: International review of financial analysis 29 (2013), pp. 143-151
Persistent link: https://www.econbiz.de/10010244113
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Comparison of soil and water assessment tool (SWAT) and multilayer perceptron (MLP) artificial neural network for predicting sediment yield in the Nagwa agricultural watershed in Jharkhand, India
Singh, A.; Imtiyaz, M.; Isaac, R.K.; Denis, D.M. - In: Agricultural Water Management 104 (2012) C, pp. 113-120
The present study was conducted in the Nagwa watershed in Jharkhand state, India. The watershed has been identified as a sensitive area for sediment and non-point source pollution. Damodar Valley Corporation (DVC), Hazaribagh, India has taken initiatives to implement several soil and water...
Persistent link: https://www.econbiz.de/10010576898
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Streamflow Response to Climate Change in the Brahmani River Basin, India
Islam, Adlul; Sikka, Alok; Saha, B.; Singh, Anamika - In: Water Resources Management 26 (2012) 6, pp. 1409-1424
Climate change can significantly affect the water resources availability by resulting changes in hydrological cycle. Hydrologic models are usually used to predict the impacts of landuse and climate changes and to evaluate the management strategies. In this study, impacts of climate change on...
Persistent link: https://www.econbiz.de/10010997593
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Application of a catchment water quality model for an East-Australian catchment
Hossain, Iqbal; Imteaz, Monzur Alam; Hossain, Mohammed Iqbal - In: International Journal of Global Environmental Issues 12 (2012) 2/3/4, pp. 242-255
This paper presents the calibration of a catchment water quality model developed for the continuous simulation of stormwater pollutants from a catchment to the catchment outlet. Calibration of the model was performed using the rainfall and water quality data collected for 'Saltwater Creek...
Persistent link: https://www.econbiz.de/10010668914
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Flash flood routing modeling for levee-breaks and overbank flows due to typhoon events in a complicated river system
Liu, Wen-Cheng; Wu, Chung-Yi - In: Natural Hazards 58 (2011) 3, pp. 1057-1076
There has been a yearly increase in precipitation in Taiwan, consistent with trends seen across the world. In the summer and fall, typhoons or tropical cyclones with torrential rainfall frequently occur as a result of Taiwan’s subtropical climate. Flash floods may cause a levee-break and/or...
Persistent link: https://www.econbiz.de/10010758732
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A global model for residential energy use: Uncertainty in calibration to regional data
van Ruijven, Bas; de Vries, Bert; Vuuren, Detlef P. van; … - In: Energy 35 (2010) 1, pp. 269-282
different calibrations of a single model. We apply an automated model calibration procedure to analyse calibration uncertainty … different implementations of these factors yield behavioural model results. Model calibration uncertainty is identified as …
Persistent link: https://www.econbiz.de/10010808183
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American option pricing under stochastic volatility: an empirical evaluation
AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science 7 (2010) 2, pp. 189-206
Persistent link: https://www.econbiz.de/10008594131
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A stochastic-difference-equation model for hedge-fund returns
Derman, Emanuel; Park, Kun Soo; Whitt, Ward - In: Quantitative Finance 10 (2010) 7, pp. 701-733
We propose a stochastic difference equation of the form Xn = AnXn-1 + Bn to model the annual returns Xn of a hedge fund relative to other funds in the same strategy group in year n. We fit this model to data from the TASS database over the period 2000 to 2005. We let {An} and {Bn} be independent...
Persistent link: https://www.econbiz.de/10008675060
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