Implications of parameter uncertainty on option prices.
Lindström, Erik (2010)
Advances in Decision Sciences
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Lindström, Erik (2010)
Advances in Decision Sciences
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Risklab project in model risk (2000)
Journal de la société française de statistique
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P. Sztuba, A. Weron (2001)
Applicationes Mathematicae
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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
Kiesel, Rüdiger (2002)
Journal of Applied Mathematics and Decision Sciences
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Philippe Durand, Jean-Frédéric Jouanin (2007)
ESAIM: Probability and Statistics
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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...
Daniel Peña (1988)
Trabajos de Estadística
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This paper presents a classification of statistical models using a simple and logical framework. Some remarks are made about the historical appearance of each type of model and the practical problems that motivated them. It is argued that the current stages of the statistical methodology for model building have arisen in response to the needs for more sophisticated procedures for building dynamic-explicative types of models. Some potentially important topics for future research are included. ...
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Linton, Oliver B., Yan, Yang (2011)
Journal of Probability and Statistics
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Lane P. Hughston, Andrea Macrina (2008)
Banach Center Publications
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We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing...
Galloway, Mack L., Nolder, Craig A. (2008)
Journal of Applied Mathematics and Decision Sciences
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Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
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Petr Volf (2005)
Kybernetika
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A stochastic process cumulating random increments at random moments is studied. We model it as a two-dimensional random point process and study advantages of such an approach. First, a rather general model allowing for the dependence of both components mutually as well as on covariates is formulated, then the case where the increments depend on time is analyzed with the aid of the multiplicative hazard regression model. Special attention is devoted to the problem of prediction of process...