搜索结果: 1-15 共查到“理论经济学 modelling”相关记录30条 . 查询时间(0.233 秒)
Term Structure Modelling by Using Nelson-Siegel Model
Nelson-Siegel model Nonlinear least squares Yield curve estimation
2016/1/27
Zero coupon rates are not observable in the market for a range of maturities. Therefore, an estimation methodology is required to derive the zero coupon yield curves from observable data. If we deal w...
Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling
Computational intelligence machine learning stock market equities automated stock tradin mistakes.
2012/9/17
For a number of reasons, computational intelligence and machine learning methods have been largely dismissed by the professional community. The reasons for this are numerous and ...
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
interest rate bonds recovery rate survival probability hazard rate function yield to maturity CMS CMT
2012/4/28
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (...
Investigating distance effects on environmental values: a choice modelling approach
choice modelling geographical distance spatial heterogeneity stratified sample
2011/10/5
Analysis of the relationship between distance and willingness to pay (WTP) is important for estimation and transfer of environmental benefits. Several contingent valuation (CV) studies have investigat...
Application of catastrophe loss modelling to promote property insurance in developing countries
catastrophe loss modelling insurance risk management Tehran
2011/9/6
Many mega cities in developing countries are exposed to the sources of natural catastrophes, particularly seismic activity. A high level of seismic hazard in some of these places, coupled with a relat...
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective
Conditional value at risk Credit risk Industries Transition matrix Value at risk
2011/8/26
Internal credit risk modelling is important for banks for the calculation of capital adequacy in terms of the Basel Accords, and for the management of sectoral exposure. We examine Credit Value at Ris...
Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...
A Theoretical Approach for Dynamic Modelling of Sustainable Development
sustainable development economic system economic development economic welfare resources scarcity natural environment
2011/3/23
This article presents a theoretical model for a dynamic system based on sustainable development. Due to the relatively absence of theoretical studies and practical issues in the area of sustainable de...
Mesoscopic modelling of financial markets
wealth distribution power-law tails stock market self-similarity
2010/10/21
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is de...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula
2010/10/19
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models ...
Modelling Information Flows in Financial Markets
Modelling Information Flows Financial Markets
2010/10/20
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information abou...
CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information abou...
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information abou...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula Stochastic Recovery Bottom-up Top-down
2010/4/28
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models t...