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This paper discusses the pitfalls in the pricing of barrier options using approximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where...
In this paper we study Binomial Models with random time steps. We explain, how calculating values for European and American Call and Put options is straightforward for the Random-Time Binomial Model. We present the conditions to ensure weak-convergence to the Black-Scholes setup and convergence...
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when the time series contains structural breaks (such as produced by German unification for German time series, for...
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when some data points are missing. This note proposes a method for coping with this problem
Computational Statistics is an international journal that fosters the publication of applications and methodological research in the field of computational statistics. In this article, we will discuss the motivation, history, some specialties, and the future scope of this journal. --...
"Wikipedia inside" ist ein ansprechendes und spannendes Buch über das derzeit wohl interessanteste Internet-Projekt. Es … vermittelt dem Leser kompakt und durchaus auch unterhaltsam ein Bild über Wikipedia, die Arbeit dort und welche Fragen und … Perspektiven dort diskutiert werden. "Wikipedia inside" bemüht sich über die reine Information hinaus auch um Annäherung an jene …