Results 61 to 70 of about 775 (103)
Estimating Drift Parameters in a Sub-Fractional Vasicek-Type Process. [PDF]
Entropy (Basel), 2022 Khalaf AD +4 more
europepmc +1 more source
Dynamic Risk Profile of the US Term Structure by Wavelet MRA [PDF]
A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non ...
CORNELIS A. LOS, SUTTHISIT JAMDEE
core
Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. [PDF]
Entropy (Basel), 2023 Nowak P, Pawłowski M.
europepmc +1 more source
A Tree Implementation of a Credit Spread Model for Credit Derivatives [PDF]
In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken ...
Philipp J. Schönbucher
core
Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate [PDF]
This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs.
Cornelis A. Los, Sutthisit Jamdee
core
AIMS Mathematics<p>Considering the characteristics of long-range correlations in financial markets, the issue of valuing geometric average Asian options is examined, assuming that the variations of the underlying asset follow the mixed sub-fractional Brownian motion, and the dynamics of short-term interest rate satisfies the mixed sub-fractional Vasicek model ...
Xinyi Wang, Chunyu Wang
openaire +2 more sources
Simultaneous nonparametric inference of time series
, 2010 We consider kernel estimation of marginal densities and regression functions of stationary processes. It is shown that for a wide class of time series, with proper centering and scaling, the maximum deviations of kernel density and regression estimates ...
Liu, Weidong, Wu, Wei Biao
core +1 more source
Financial Market Functioning and Monetary Policy: Japanfs Experience [PDF]
This paper reviews the financial market functioning under the zero interest rate policy (ZIRP) and the subsequent quantitative monetary easing policy (QMEP) conducted by the Bank of Japan (BOJ).
Naohiko Baba
core
Cointegration pairs trading strategy on derivatives. [PDF]
, 2013 在現今的社會，協整技術已被廣泛應用於金融和計量經濟領域，特別用於構建股票市場的統計套利策略。在這一篇論文中，我們主要考察在衍生品市場中，基於協整技術的套利交易策略，這一策略的主要研究對象是隱含波動率。利用隱性波動率的線性組合的均值回歸的特性，通過配對兩隻帶有正利差(如theta) 的短期平價歐式跨式期權來獲利。同時，構建實際波動率的模型和預測未來實際波動率的模型將會用於補充這一交易策略的不足，隱性一實際條件和Gamma-Vega條件被引入來提高交易策略的效率 ...
core
Reverse Engineering the Yield Curve [PDF]
Prices of riskfree bonds in any arbitrage-free environment are governed by a pricing kernel: given a kernel, we can compute prices of bonds of any maturity we like.
David K. Backus, Stanley E. Zin
core