Search Results - subject:"Model calibration"

Bielecki, Tomasz; Crepey, Stephane; Jeanblanc, Monique - In: Quantitative Finance 10 (2010) 10, pp. 1137-1151

This paper discusses the main modeling approaches that have been developed for handling portfolio credit derivatives, with a focus on the question of hedging. In particular, the so-called top, top down and bottom up approaches are considered. We give some mathematical insights regarding the fact...

Persistent link: https://www.econbiz.de/10008675073

OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL

BORMETTI, GIACOMO; CAZZOLA, VALENTINA; DELPINI, DANILO - In: International Journal of Theoretical and Applied … 13 (2010) 07, pp. 1047-1063

We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit dynamics in the regime of low fluctuations of the volatility...

Persistent link: https://www.econbiz.de/10008725899

Robust estimation of historical volatility and correlations in risk management

Tchernitser, Alexander; Rubisov, Dmitri - In: Quantitative Finance 9 (2009) 1, pp. 43-54

Financial time series have two features which, in many cases, prevent the use of conventional estimators of volatilities and correlations: leptokurtotic distributions and contamination of data with outliers. Other techniques are required to achieve stable and accurate results. In this paper, we...

Persistent link: https://www.econbiz.de/10005495803

Evolving Effective Hydraulic Model for Municipal Water Systems

Wu, Zheng; Clark, Christopher - In: Water Resources Management 23 (2009) 1, pp. 117-136

framework for evolving a hydraulic network model. Calibration tasks can be specified according to data availability and model … loadings that are corresponding to field data collection. A model calibration is then defined as an implicit nonlinear … progressive manner according to practical system conditions, thus it is possible to achieve a good model calibration with high …

Persistent link: https://www.econbiz.de/10010794183

A multivariate Levy process model with linear correlation

Kawai, Reiichiro - In: Quantitative Finance 9 (2009) 5, pp. 597-606

In this paper, we develop a multivariate risk-neutral Levy process model and discuss its applicability in the context of the volatility smile of multiple assets. Our formulation is based upon a linear combination of independent univariate Levy processes and can easily be calibrated to a set of...

Persistent link: https://www.econbiz.de/10004966871

Statistical estimation in partial linear models with covariate data missing at random

Wang, Qi-Hua - In: Annals of the Institute of Statistical Mathematics 61 (2009) 1, pp. 47-84

Persistent link: https://www.econbiz.de/10005760282

Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates.

Pirotte, Hugues - Centre Emile Bernheim, Solvay Brussels School of … - 1999

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have addressed the problem of pricing swap credit risk. I propose a complete implementation procedure of the structural line of research in theoretical credit risk analysis in order to...

Persistent link: https://www.econbiz.de/10005357850

Implied Calibration of Stochastic Volatility Jump Diffusion Models

Galluccio, Stefano; Cam, Yann Le - EconWPA - 2005

In the context of arbitrage-free modelling of financial derivatives, we introduce a novel calibration technique for models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we aim at calibrating a stochastic volatility jump diffusion...

Persistent link: https://www.econbiz.de/10005076950

Dominant parameter selection in the marginally identifiable case

Ioslovich, Ilya; Gutman, Per-Olof; Seginer, Ido - In: Mathematics and Computers in Simulation (MATCOM) 65 (2004) 1, pp. 127-136

Often a rather limited set of experimental data is available for the identification of a dynamic model, which contains many parameters. This is, e.g. the usual case for crop growth models. In this situation, only some parameter values can be estimated. Based on an analysis of the Fisher...

Persistent link: https://www.econbiz.de/10010749014

On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions

Svenstrup, Mikkel - Ehrvervøkonomisk Institut, Institut for Økonomi - 2003

In this paper we examine the cost of using recalibrated single-factor models to determine the exercise strategy for Bermudan swaptions in a multi-factor world. We demonstrate that single-factor exercise strategies applied in a multi-factor world only give rise to economically insignificant ...

Persistent link: https://www.econbiz.de/10005802128