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An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …
Persistent link: https://www.econbiz.de/10009579176
-specific mortality in a population of roughly 1.2 million Mediterranean fruit flies (Ceratitis Capitata). The quantile regression … mortality rates at advanced ages, and the gender cross-over effect in survival functions for medflies. …
Persistent link: https://www.econbiz.de/10009580464
Empirical studies in family economics usually rely on questionnaires, statistical or panel data. Here we try to study experimentally some crucial aspects of engaging in a marriage. First the female partner can end the relationship or suggest one of the two forms of joint venture. Whereas a full...
Persistent link: https://www.econbiz.de/10009582415
hedging derivatives and of intertemporal consumption choice. …
Persistent link: https://www.econbiz.de/10009612020
Persistent link: https://www.econbiz.de/10009582414
We discuss how to assess the performance for credit scores under the assumption that for credit data only a part of the defaults and nondefaults is observed. The paper introduces a criterion that is based on the difference of the score distributions under default and nondefault. We show how to...
Persistent link: https://www.econbiz.de/10009626674
technique is based on the theory generalized partial linear models. We illustrate the advantages of this approach using a …
Persistent link: https://www.econbiz.de/10009627282
currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine …. The different estimators are compared with profit based criteria. -- exchange rates ; mean-variance hedging ; adaptive …
Persistent link: https://www.econbiz.de/10009613598
analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …
Persistent link: https://www.econbiz.de/10009625800
Persistent link: https://www.econbiz.de/10009632600