Search Results - subject:"saddlepoint approximations"

Accurate and robust indirect inference for diffusion models

Czellar, Veronika; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2008

Indirect inference (Smith, 1993; Gouriéroux, Monfort and Renault, 1993) is a simulation-based estimation method dealing with econometric models whose likelihood function is intractable. Typical examples are diffusion models described by stochastic differential equations. A potential problem that...

Persistent link: https://www.econbiz.de/10005727710

Accurate and robust indirect inference for diffusion Models

Czellar, Veronika; Ronchetti, Elvezio - 2008

Persistent link: https://www.econbiz.de/10003926948

Don’t fall from the saddle: The importance of higher moments of credit loss distributions

ANNAERT, Jan; BATISTA, Crispiniano Garcia Joao; LAMOOT, … - Faculteit Toegepaste Economische Wetenschappen, … - 2007

with large skewness and kurtosis. We show that for such portfolios the commonly applied saddlepoint approximations (the …, the saddlepoint approximations are not a universal substitute to the Panjer recursion algorithm. We also provide users of … CR+ with a set of diagnostics to identify beforehand when the saddlepoint approximations are prone to failure. …

Persistent link: https://www.econbiz.de/10005350883

Optimal Fourier inversion in semi-analytical option pricing

Lord, Roger; Kahl, Christian - 2007 - This version: 10th May 2007

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...

Persistent link: https://www.econbiz.de/10011349177

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - 2006

Persistent link: https://www.econbiz.de/10010325539

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Institute - 2006

Persistent link: https://www.econbiz.de/10005209502

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

Persistent link: https://www.econbiz.de/10011256210

Saddlepoint approximation at the edges of a conditional sample space

Kolassa, John E. - In: Statistics & Probability Letters 50 (2000) 4, pp. 343-349

statistic vectors in generalized linear models. Implementing saddlepoint approximations requires calculating maximum likelihood …

Persistent link: https://www.econbiz.de/10005254576

Uniformity of Double Saddlepoint Conditional Probability Approximations

Kolassa, John E. - In: Journal of Multivariate Analysis 64 (1998) 1, pp. 66-85

This paper presents results showing that the error involved in using the double saddlepoint distribution function approximations of Skovgaard (1987,J. Appl. Probab.24875-887) are uniformly bounded. Particular attention is paid to distributions of sufficient statistics arising from generalized...

Persistent link: https://www.econbiz.de/10005160612