7 search results - page 1 / 2 » Stochastic models for risk estimation in volatile markets: a... |
ANOR
2010
13 years 11 months ago
2010
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to captur...
CORR
2007
Springer
13 years 11 months ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
FS
2010
13 years 9 months ago
2010
Abstract Consider discrete time observations (X δ)1≤ ≤n+1 of the process X satisfying dXt = √ VtdBt, with Vt a one-dimensional positive diffusion process independent of the...
ICCS
2001
Springer
14 years 3 months ago
2001
Springer
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...
HICSS
2002
IEEE
14 years 4 months ago
2002
IEEE
We propose a class of alternative stochastic volatility models for electricity prices using the quantile function modeling approach. Specifically, we fit marginal distributions ...