Search Results - subject:"orthogonal polynomial"

Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation

Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253

diffusions and therefore the option prices can be efficiently computed via orthogonal polynomial expansions. We take the Heston …

Persistent link: https://www.econbiz.de/10014632198

Analytical formulas for option prices under time-changed CARMA process

Tong, Zhigang - In: International journal of financial engineering 10 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014444664

On modeling heterogeneity in linear models using trend polynomials

Michaelides, Michael; Spanos, Aris - In: Economic modelling 85 (2020), pp. 74-86

Persistent link: https://www.econbiz.de/10012210611

Assessing the impact of derived behavior information on customer attrition in the financial service industry

Tang, Leilei; Thomas, Lyn; Fletcher, Mary; Pan, Jiazhu; … - In: European Journal of Operational Research 236 (2014) 2, pp. 624-633

services industry and improve the prediction of customer attrition. To achieve this, we apply an orthogonal polynomial …

Persistent link: https://www.econbiz.de/10010871151

Assessing the impact of derived behavior information on customer attrition in the financial service industry

Tang, Leilei; Thomas, Lyn C.; Fletcher, Mary; Pan, Jiazhu; … - In: European journal of operational research : EJOR 236 (2014) 2, pp. 624-633

Persistent link: https://www.econbiz.de/10010366718

An Orthogonal Polynomial Approach to Estimate the Term Structure of Interest Rates

Buettler, Hans-Juerg - Schweizerische Nationalbank (SNB) - 2007

In this paper, we introduce a new algorithm to estimate the term structure of interest rates. It is obtained from a constrained optimization, where the objective is to minimize the integral of squared first derivatives of the instantaneous forward interest rate subject to the condition that the...

Persistent link: https://www.econbiz.de/10005091302

An Orthogonal Polynomial Approach to Estimate the Term Structure of Interest Rates

Büttler, Hans-Jürg - Schweizerische Nationalbank (SNB) - 2007

Persistent link: https://www.econbiz.de/10008917455

On polynomial extension of t-distribution and its financial applications

Li, Hao; Melnikov, Alexander - In: Risk and decision analysis 4 (2013) 4, pp. 255-266

Persistent link: https://www.econbiz.de/10010475799

Improving Penalized Least Squares through Adaptive Selection of Penalty and Shrinkage

Beran, Rudolf - In: Annals of the Institute of Statistical Mathematics 54 (2002) 4, pp. 900-917

Persistent link: https://www.econbiz.de/10005395521

D-Optimal Designs for Trigonometric Regression Models on a Partial Circle

Dette, Holger; Melas, Viatcheslav; Pepelyshev, Andrey - In: Annals of the Institute of Statistical Mathematics 54 (2002) 4, pp. 945-959

Persistent link: https://www.econbiz.de/10005395754