Results 71 to 80 of about 14,774,356 (95)

A design methodology to enable sampling PLLs to synthesise fractional-N frequencies [PDF]

, 2011
A novel design methodology is proposed to enable sampling phase-locked loops (SPLL) to synthesise fractional-N frequencies. To date, SPLL can only generate integer-N frequencies.
Xu, Tao, Condon, Marissa, Linigyong, Shen   +2 more
core   +1 more source

Estimation of one-, two- and three-factor generalized Vasicek term structure models for Japanese interest rates using monthly panel data

, 2011
In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models using Japanese yield curve panel data over the important period 2000 to 2010.
K. Ben Nowman, Nowman, K.B.
core   +1 more source

Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model

Portfolio credit derivatives, Vasicek model, Credit default swaps, Collateralized debt obligation, Default intensity correlation,
Jin Liang, Tao Wang, Jun Ma, Qin Ji
core   +1 more source

Pemodelan Harga Obligasi dengan Bunga Berfluktuasi Menggunakan Model Vasicek Jangka Pendek [PDF]

, 2014
ABSTRAKSI: Obligasi adalah surat utang yang diterbitkan oleh suatu lembaga tertentu. Pihak yang menerbitkan obligasi akan membayar imbalan berupa kupon bunga tetap pada periode tertentu dan melunasi pokok hutang kepada pihak pembeli obligasi tersebut ...
Diani Sarah Kamilia
core  

The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
core  

The Fractional OU Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Esben Hoeg, Per Frederiksen
core  

Pricing an Asset-Or-Nothing Call Option using a Mixed Fractional Hull-White-Vasicek with stochastic volatility and interest rate

International audienceIn this paper, we present a pricing model for an Asset-or-Nothing call option under the mixed modified fractional Hull-White-Vasicek(MMFHWV) model, which incorporates stochastic volatility and stochastic interest rates.
Sadefo Kamdem, Jules, Djeutcha, Eric
core   +1 more source

How to Extract Short-Rate Expectations from the Extended Vasicek Model

, 2012
Braun T. How to Extract Short-Rate Expectations from the Extended Vasicek Model.
Braun, Thomas
core  

Vasicek and CIR models for forecasting interest rates

reservedNel mondo della finanza le previsioni rivestono un ruolo fondamentale per prendere decisioni, gestire rischi, pianificare strategicamente gli investimenti e valutarne le performance.
FOLLADOR, ALESSANDRO
core  

On the Schwartz Distribution Approach to Local Volatility for European Option in a Generalised Jump Model with Stochastic Interest Rate. [PDF]

Entropy (Basel)
Nowak P, Gatarek D.
europepmc   +1 more source