Results 21 to 30 of about 475 (79)

A Full Balance Sheet Two-modes Optimal Switching problem [PDF]

, 2014
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields.
Djehiche, Boualem, Hamdi, Ali
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Single proxy synthetic control

Journal of Causal Inference
Synthetic control methods are widely used to estimate the treatment effect on a single treated unit in time-series settings. A common approach to estimate synthetic control weights is to regress the treated unit’s pretreatment outcome and covariates ...
Park Chan, Tchetgen Tchetgen Eric J.
doaj   +1 more source

Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model

, 2011
This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the num\'{e}raire ...
Chan, Leunglung, Platen, Eckhard
core   +1 more source

Una nota sobre el contraste de relaciones de cointegración entre índices de precios [PDF]

, 1998
El contraste de relaciones de equilibrio usando técnicas de cointegración, entre variables económicas en general y entre índices de precios en particular, ha recibido elevada atención en los últimos años.
Artís Ortuño, Manuel, Sansó i Rosselló, Andreu, Suriñach Caralt, Jordi   +2 more
core   +3 more sources

Statistical inference for time-inhomogeneous volatility models

, 2004
This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes.
Mercurio, Danilo, Spokoiny, Vladimir
core   +1 more source

Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models [PDF]

This paper considers a class of incomplete financial market models with security price processes that exhibit intensity based jumps. The benchmark or numeraire is chosen to be the growth optimal portfolio. Portfolio values, when expressed in units of the
Eckhard Platen
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Análisis descriptivo de la población ocupada en la CAPV (1993-1999) [PDF]

Clasificación AMS: 62P20, 62-07.-- Una versión más reciente de este trabajo está publicada como Biltoki 2003.07.cualificación, sectores económicos, situación ...
Oguiza Tobar, Ainhoa
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Price majorization and the inverse Lorenz function [PDF]

The paper presents an approach to the measurement of economic disparity in several commodities. We introduce a special view on the usual Lorenz curve and extend this view to the multivariate situation: Given a vector of shares of the total endowments in ...
Koshevoy, Gleb, Mosler, Karl
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Modeling the Volatility and Expected Value of a Diversified World Index [PDF]

This paper considers a diversified world stock index in a continuous financial market with the growth optimal portfolio (GOP) as the reference unit or benchmark.
Eckhard Platen
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Uniqueness of Viscosity Solutions for Optimal Multi-Modes Switching Problem with Risk of default [PDF]

, 2012
In this paper we study the optimal m-states switching problem in finite horizon as well as infinite horizon with risk of default. We allow the switching cost functionals and cost of default to be of polynomial growth and arbitrary.
Asri, Brahim El
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