Search Results - subject:"probability density functions"

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

Puigvert-Gutiérrez, Josep; Vincent-Humphreys, Rupert - In: Eurasian Economic Review 2 (2012) 1, pp. 1-31

This paper presents a set of probability density functions for EURIBOR outturns in three months’ time, estimated from … the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … attention is given to how these probability density functions, and their associated summary statistics, reacted to the unfolding …

Persistent link: https://www.econbiz.de/10010938253

PDF models and synthetic model for the wind speed fluctuations based on the resolution of Langevin equation

Calif, Rudy - In: Applied Energy 99 (2012) C, pp. 173-182

fluctuations. In this work, Probability Density Functions (PDFs) are proposed to fit the wind speed fluctuations distributions in …

Persistent link: https://www.econbiz.de/10010594035

Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month EURIBOR

Vergote, Olivier; Gutiérrez, Puigvert; Maria, Josep - In: Journal of Banking & Finance 36 (2012) 10, pp. 2804-2823

. For this purpose, it extends the estimation of risk-neutral probability density functions up to tick frequency. In …

Persistent link: https://www.econbiz.de/10010595288

A quantitative mirror on the Euribor market using implied probability density functions

Puigvert-Gutiérrez, Josep Maria; De Vincent-Humphreys, … - In: Eurasian economic review : a journal of the Eurasia … 2 (2012) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010340001

Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000

Mandler, Martin - In: Swiss Journal of Economics and Statistics (SJES) 138 (2002) II, pp. 165-189

In recent years various different techniques to uncover the information on market expectations contained in option prices have been developed. This paper applies the technique of fitting a mixture of lognormal densities to LIFFE Euribor futures options to estimate the risk-neutral implied...

Persistent link: https://www.econbiz.de/10005148731

Probability distributions of facilities management costs for whole life cycle costing in acute care NHS hospital buildings

Kirkham, Richard; Boussabaine, A. Halim; Awwad, Belal - In: Construction Management and Economics 20 (2002) 3, pp. 251-261

Whole life cycle costing (WLCC) can provide a valuable insight into the economic efficiency of National Health Service (NHS) acute care hospital buildings. The costs of the facilities management function form an integral part of that process. However, the nature of facilities management cost...

Persistent link: https://www.econbiz.de/10005482597

Boundary conditions for generalized hedging point policies in stochastic manufacturing systems

VAN DELFT, Christian - HEC Paris (École des Hautes Études Commerciales) - 1999

The production control, via hedging point policies, of a single part type manufacturing system with stochastic capacity and demand is discussed. In the present paper, several feasible operational modes may correspond to equal hedging points. For such generalized hedging point policies, we...

Persistent link: https://www.econbiz.de/10005106607