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
The information content in bond model residuals: an empirical study on the Belgian bond market. [PDF]
We estimate daily Vasicek, CIR, and spline models on Belgian data and compare the trading profits that can be made on the basis of the model residuals. Abnormal returns are negatively related to lagged mispricing.
Wu, XP, Sercu, Piet
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PENENTUAN PREMI ASURANSI JIWA BERJANGKA MENGGUNAKAN MODEL VASICEK DAN MODEL COX-INGERSOLL-ROSS (CIR) [PDF]
, 2018 Tingkat suku bunga berpengaruh pada penentuan besaran nilai premi. Nilai suku bunga diperoleh dengan menggunakan model suku bunga Vasicek dan CIR. Tujuan dari penelitian ini adalah untuk menghitung nilai suku bunga, nilai premi, dan perbandingan nilai ...
PURNABA, I. G. P. +2 more
core +1 more source
Lévy-Vasicek Models and the Long-Bond Return Process [PDF]
, 2018 The classical derivation of the well-known Vasicek model for interest rates is reformulated in terms of the associated pricing kernel. An advantage of the pricing kernel method is that it allows one to generalize the construction to the Lévy-Vasicek case,
Meier, D +11 more
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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
Modelling solute transport in soil columns using advective-dispersive equations with fractional spatial derivatives [PDF]
, 2010 Solute transport in soils is commonly simulated with the advective–dispersive equation, or ADE. It has been reported that this model cannot take into account several important features of solute movement through soil.
San Jose Martinez, Fernando
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Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model
This paper develops the asymptotic theory for the least squares (LS) estimator of the persistent parameter in the fractional Vasicek model when a continuous record of observations is available.
Jun Yu, Weilin Xiao
core
METODE BENEFIT PRORATE CONSTANT DOLLAR UNTUK PENGHITUNGAN DANA PENSIUN MENGGUNAKAN SUKU BUNGA MODEL VASICEK [PDF]
, 2017 Dana Pensiun merupakan badan hukum yang menjalankan danapensiun. Perhitungan aktuaria iuran normal, kewajiban aktuaria dan manfaat pensiun dalam dana pensiun biasanya menggunakan asumsi tingkat bunga bergerak tetap, hal ini tidak sesuai dengan ...
Kusumawati, Rosita, Cahyani, Sisca
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PENERAPAN MODEL VASICEK PADA PREMI BERSIH ASURANSI JIWA DWIGUNA (ENDOWMENT) [PDF]
, 2018 Insurance is treaty or agreement of persons to get financial difficulties and the risk if there is a case of natural disasters in their members. On insurance there are some kind of life insurance, the one of insurance is dwiguna (endowment). Dwiguna life
FREDIANAS HENDRIYANTO, NIM. 12610001
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PERHITUNGAN DANA PENSIUN METODE ENTRY AGE NORMAL BERBASIS MODEL SUKU BUNGA VASICEK [PDF]
Penelitian ini mengkaji perhitungan dana pensiun menggunakan metode Entry Age Normal (EAN) berbasis model suku bunga Vasicek. Model ini digunakan untuk menghitung iuran normal dan kewajiban aktuaria dalam program pensiun, dengan mempertimbangkan ...
Manullang, Sudianto +3 more
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