المؤلفون: Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti

المصدر: Electronic Communications in Probability. 27

مصطلحات موضوعية: Change of numéraire, Statistics and Probability, Hazard process, analytical functions, change of numéraire, credit risk, defaultable bond pricing, Hazard process, non-affine models, Non-affine models, Settore MAT/06, Statistics, Probability and Uncertainty, Analytical functions, Credit risk, Defaultable bond pricing

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::87dae3fce3fdafce1cd7defbdecb1fbe
https://doi.org/10.1214/22-ecp458

المؤلفون: Radulović, Tatjana

مصطلحات موضوعية: weighted likelihood, Quadratisch-exponentieller Algorithmus, Milstein's algorithm, nicht-affine Modelle, gewichtete Likelihood, moment-matching schemes, 2 Model, stochastische Volatilität, Bewertung pfadabhängiger Optionen, non-affine models, Algorithmus von Milstein, pricing of path dependent options, 2 Modell, stochastic volatility, quadratic-exponential algorithm, Moment-Matching Schema

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::662d000e8552840d112dcc2bd33a7299

المؤلفون: Alessandro Ramponi, Sergio Scarlatti, Fabio Antonelli

المصدر: SSRN Electronic Journal.

مصطلحات موضوعية: q-fin.CP, Gaussian, Monte Carlo method, 0211 other engineering and technologies, moment matching, Computational Finance (q-fin.CP), 02 engineering and technology, Management Science and Operations Research, 01 natural sciences, non-affine models, FOS: Economics and business, 010104 statistics & probability, symbols.namesake, Quantitative Finance - Computational Finance, Cox-Ingersoll-Ross model, Applied mathematics, Call option, 0101 mathematics, option pricing, Mathematics, 021103 operations research, Settore SECS-S/06, General Business, Management and Accounting, Moment (mathematics), stochastic interest rates, Cox–Ingersoll–Ross model, Valuation of options, Short-rate model, Modeling and Simulation, symbols, Affine transformation

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::247f81b42567549758753d69cc8921fa
https://doi.org/10.2139/ssrn.3613032

المؤلفون: Gresnigt, F. (Francine)

مصطلحات موضوعية: Self-excitation, Hawkes processes, Earthquakes, Jumps, Early Warning System, Specification Testing, Lagrange Multiplier tests, Cross-excitation, non-affine models, option prices, Bayesian estimation, Machine Learning, Particle Filtering, Particle Gibbs, jump risk premium

وصف الملف: application/pdf

Relation: http://repub.eur.nl/pub/124777; urn:ISBN:978-90-361-0575-0; urn:hdl:1765/124777

الاتاحة: http://repub.eur.nl/pub/124777

المؤلفون: Gresnigt, F.

مصطلحات موضوعية: Self-excitation, Hawkes processes, Earthquakes, Jumps, Early Warning System, Specification Testing, Lagrange Multiplier tests, Cross-excitation, non-affine models, option prices, Bayesian estimation, Machine Learning, Particle Filtering, Particle Gibbs, jump risk premium, envir, eco

Relation: http://repub.eur.nl/pub/124777

الاتاحة: http://repub.eur.nl/pub/124777