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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 81 - 83 of 83
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A macroscopic taxi model for passenger demand, taxi utilization and level of services
Yang, Hai; Lau, Yan; Wong, Sze; Lo, Hong - In: Transportation 27 (2000) 3, pp. 317-340
In most urban areas taxi services are subject to various types of regulation such as entry restriction and price control. However, effective intervention depends on generating and using suitable information on the demand-supply equilibrium of the taxi market. This paper develops a simultaneous...
Persistent link: https://www.econbiz.de/10005547679
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Cover Image
How well do classical credit risk pricing models fit swap transaction data?
Pirotte, Hugues; Cossin, Didier - Solvay Brussels School of Economics and Management, … - 1998
Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in an attempt to evaluate one of the main lines of research in...
Persistent link: https://www.econbiz.de/10011163405
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How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?
Pirotte, Hugues; Cossin, Didier - Centre Emile Bernheim, Solvay Brussels School of … - 1998
Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate a line of research in theoretical credit...
Persistent link: https://www.econbiz.de/10005558868
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