Search Results - subject:"calibration."

Pricing credit risk through equity options calibration: Part 2 – model implementation

Delzio, Marco Fabio - In: Journal of Risk Finance 7 (2006) August, pp. 386-401

calibration, part 1 – theory,” and show how to calculate the price of a set of coupon bonds issued by a US telecommunications and …

Persistent link: https://www.econbiz.de/10005002455

AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET

TANIMURA, HIDETOSHI; YAMADA, YUJI - In: International Journal of Theoretical and Applied … 09 (2006) 07, pp. 1123-1139

In this paper an efficient calibration method for the multi-factor LIBOR Market Model (LMM) is proposed and is applied … for the Japanese interest rate market. At first the joint calibration method in the cap and swaption market is …'s swaption volatilities through our calibration fit the market data almost exactly and that the estimated implied correlation …

Persistent link: https://www.econbiz.de/10005060195

FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH

REBONATO, RICCARDO - In: International Journal of Theoretical and Applied … 09 (2006) 05, pp. 705-746

This work presents the first systematic analysis of the whole swaption matrix by fitting a parsimonious, nonlinear, financially-inspired volatility model to market data. The study uses several years of data spanning period of major market volatility. We find that the quality of the fits is good...

Persistent link: https://www.econbiz.de/10005060202

Industry Dynamics with Barriers to Entry

Abbring, Jaap H.; Campbell, Jeffrey R. - Society for Economic Dynamics - SED - 2006

This paper considers the effects of a monopolist raising the cost of entry for potential competitors on Markov-perfect industry dynamics. All entrants serving the model industry incur sunk costs, which they partially recover when exiting. Empirically, the probability of exit declines with the...

Persistent link: https://www.econbiz.de/10005069221

Why England? Demographic factors, structural change and physical capital accumulation during the Industrial Revolution

Voigtländer, Nico; Voth, Hans-Joachim - Institut for Miljø og Erhvervsøkonomi, Syddansk … - 2006

Why did England industrialize first? And why was Europe ahead of the rest of the world? Unified growth theory in the tradition of Galor-Weil (2000) and Galor-Moav (2002) captures the key features of the transition from stagnation to growth over time. Yet we know remarkably little about why...

Persistent link: https://www.econbiz.de/10005650459

Stochastic Volatility Effects on Defaultable Bonds

Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut - In: Applied Mathematical Finance 13 (2006) 3, pp. 215-244

calibration of parameters. …

Persistent link: https://www.econbiz.de/10005639873

Economists as experts: Overconfidence in theory and practice

Angner, Erik - In: Journal of Economic Methodology 13 (2006) 1, pp. 1-24

Drawing on research in the psychology of judgment and decision making, I argue that individual economists acting as experts in matters of public policy are likely to be victims of significant overconfidence. The case is based on the pervasiveness of the phenomenon, the nature of the task facing...

Persistent link: https://www.econbiz.de/10005640143

An Information-theoretic Approach to the Effective Usage of Auxiliary Information from Survey Data

Wu, Changchun; Zhang, Runchu - In: Annals of the Institute of Statistical Mathematics 58 (2006) 3, pp. 499-509

Persistent link: https://www.econbiz.de/10005760178

On the predictibility of the exchange rate behaviour: An application of Lucas' Model to the Spanish case/¿Es posible predecir el comportamiento del tipo de cambio? Una aplicación del modelo de Lucas al caso español.

TORRE, BARBERÁ DE LA; ANTONIO, RAFAEL; PEDRERA, DONCEL; … - In: Estudios de Economía Aplicada 24 (2006) Abril, pp. 427-452

portfolio return differs from the fundamentals of the assets which composes it. In this paper we study, by using the calibration …

Persistent link: https://www.econbiz.de/10005549585

The Aggregate Labor Market Effects of the Swedish Knowledge Lift Program

Albrecht, James; Berg, Gerard J. van den; Vroman, Susan - Institute for the Study of Labor (IZA) - 2006

The Swedish adult education program known as the Knowledge Lift (1997-2002) was unprecedented in its size and scope, aiming to raise the skill level of large numbers of lowskill workers. This paper evaluates the potential effects of this program on aggregate labor market outcomes. This is done...

Persistent link: https://www.econbiz.de/10005822408