We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-depend...
In this paper, we use exact simulation to price CDO under a new dynamic model, the Conditional Survival (CS) model, which provided excellent calibration to both iTraxx tranches an...
The idea that context is important when predicting customer behavior has been maintained by scholars in marketing and data mining. However, no systematic study measuring how much t...
Cosimo Palmisano, Alexander Tuzhilin, Michele Gorg...
Predictive models in direct marketing seek to identify individuals most likely to respond to promotional solicitations or other intervention programs. While standard modeling appr...
We present a semi-parametric model that describes pricing behaviors in a market environment, and we show how that model can be used to guide resource allocation and pricing decisi...
Wolfgang Ketter, John Collins, Maria L. Gini, Paul...