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  • Search: subject:"Model calibration"
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Year of publication
Subject
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Model calibration 41 model calibration 35 Optionspreistheorie 21 Option pricing theory 20 Theorie 16 Theory 16 Modellierung 13 Scientific modelling 13 Stochastic process 12 Stochastischer Prozess 12 Derivat 9 Derivative 9 Volatility 8 Volatilität 8 Credit risk 7 Yield curve 7 Zinsstruktur 7 Kreditrisiko 6 Model Calibration 6 Schätztheorie 5 Estimation theory 4 credit risk 4 Basel Accord 3 Basler Akkord 3 Credit rating 3 Estimation 3 Interest rate derivative 3 Kreditwürdigkeit 3 Markov chain 3 Markov-Kette 3 Mathematical programming 3 Mathematische Optimierung 3 Option pricing 3 Option trading 3 Optionsgeschäft 3 Portfolio selection 3 Portfolio-Management 3 Probability theory 3 Risiko 3 Risk 3
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Online availability
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Undetermined 54 Free 24 CC license 3
Type of publication
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Article 70 Book / Working Paper 18 Other 1
Type of publication (narrower categories)
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Article in journal 37 Aufsatz in Zeitschrift 37 Working Paper 6 Graue Literatur 5 Non-commercial literature 5 Arbeitspapier 3 Article 3 Aufsatz im Buch 1 Book section 1
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Language
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English 51 Undetermined 38
Author
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Pirotte, Hugues 3 Schlögl, Erik 3 Baker, Christopher 2 Baldeaux, Jan 2 Barigozzi, Francesca 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 Montinari, Natalia 2 Nagl, Maximilian 2 Platen, Eckhard 2 Pontikakis, Dimitrios 2 Pycroft, Jonathan 2 Rauch, Johannes 2 Righetto, Giovanni 2 Rubtsov, Mark 2 Rudd, Ralph 2 Rösch, Daniel 2 Tampieri, Alessandro 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
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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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Quantitative finance 5 Agricultural Water Management 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 Operations research 2 Risks : open access journal 2 The journal of risk model validation 2 Transportation research : an international journal 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
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Source
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ECONIS (ZBW) 43 RePEc 39 EconStor 6 BASE 1
Showing 1 - 10 of 89
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Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
Joseph, Benjamin; Loeper, Grégoire; Obłój, Jan - In: Quantitative finance 24 (2024) 11, pp. 1597-1620
Persistent link: https://www.econbiz.de/10015196948
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Statistical discrimination revisited: Explaining the early gender wage gap with graduate data
Barigozzi, Francesca; Montinari, Natalia; Righetto, Giovanni - 2025
combined evidence from the model calibration and the empirical analysis supports an extended statistical discrimination channel …
Persistent link: https://www.econbiz.de/10015619237
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Generic framework for a coherent integration of experience and exposure rating in reinsurance
Bernegger, Stefan - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 518-545
Persistent link: https://www.econbiz.de/10015154558
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Statistical discrimination revisited : explaining the early gender wage gap with graduate data
Barigozzi, Francesca; Montinari, Natalia; Righetto, Giovanni - 2025
combined evidence from the model calibration and the empirical analysis supports an extended statistical discrimination channel …
Persistent link: https://www.econbiz.de/10015557357
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Debiasing treatment effect estimation for privacy- protected data : a model auditing and calibration approach
Huang, Ta-Wei; Ascarza, Eva - 2023 - This version: September 18, 2023
Persistent link: https://www.econbiz.de/10014468100
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Analysing quantiles in models of forward term rates
McWalter, Thomas A.; Schlögl, Erik; Van Appel, Jacques - In: Risks : open access journal 11 (2023) 2, pp. 1-18
The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of...
Persistent link: https://www.econbiz.de/10014233216
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Trading with concave price impact and impact decay : theory and evidence
Hey, Natascha; Mastromatteo, Iacopo; Muhle-Karbe, Johannes - In: Operations research 73 (2025) 3, pp. 1230-1247
Persistent link: https://www.econbiz.de/10015445714
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Multivariate discrete choice with rational inattention : model development, application, and calibration
Chen, Xin; Jiang, Gege; Jiang, Yu - In: Transportation research : an international journal 194 (2025), pp. 1-22
Persistent link: https://www.econbiz.de/10015449492
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The geometry of multi-curve interest rate models
Fontana, Claudio; Lanaro, Giacomo; Murgoci, Agatha - In: Quantitative finance 25 (2025) 2, pp. 323-342
Persistent link: https://www.econbiz.de/10015534098
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Deep calibration of financial models : turning theory into practice
Büchel, Patrick; Kratochwil, Michael; Nagl, Maximilian; … - In: Review of derivatives research 25 (2022) 2, pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
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