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Mostrando ítems 11-20 de 138
Estimando un Modelo de 2 Factores del Tipo Exponential-affine para la Tasa de Interés Chilena
(ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2014)
Unspanned stochastic volatility and fixed income derivatives pricing
(ELSEVIER SCIENCE BV, 2005)
We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three ...
Ensaios sobre a estrutura a termo da taxa de juros
(2013-02-25)
This thesis consists of three works that analyses the term structure of interest rates using different datasets and models. Chapter 1 proposes a parametric interest rate model that allows for segmentation and local shocks ...
Immunization of fixed-income portfolios using an exponential parametric model
(Sociedade Brasileira de Econometria, 2014-11-14)
Litterman e Scheinkman (1991) mostram que mesmo uma carteira de renda fixa duration imunizada (neutra) pode sofrer grandes perdas e, portanto, propõem fazer hedge de carteiras utilizando a análise de componentes principais. ...
SERFIT - AN ALGORITHM TO FORECAST MINERAL TRENDS
(Pergamon-elsevier Science LtdOxfordInglaterra, 1995)
CMB and LSS constraints on a single-field model of inflation
(EPL ASSOCIATION, EUROPEAN PHYSICAL SOCIETY, 2008)
A new inflationary scenario whose exponential potential V (Phi) has a quadratic dependence on the field Phi in addition to the standard linear term is confronted with the five-year observations of the Wilkinson-Microwave ...
Generalised teleparallel quintom dark energy non-minimally coupled with the scalar torsion and a boundary term
(2018)
Within this work, we propose a new generalised quintom dark energy model in the teleparallel alternative of general relativity theory, by considering a non-minimal coupling between the scalar fields of a quintom model with ...
Modelo de cascada sigma variante para la estructura a término de tasas de interés en Colombia
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2019)
The present study contrasts two recursive cascade models to determine the dynamics of the term structure of interest rates in Colombia, these models have heterogeneously persistent factors that mean-revert to the immediately ...
dockECR: Open consensus docking and ranking protocol for virtual screening of small molecules
(Elsevier Science Inc., 2021-12-15)
The development of open computational pipelines to accelerate the discovery of treatments for emerging diseases allows finding novel solutions in shorter periods of time. Consensus molecular docking is one of these approaches, ...
Estructura a plazo Colombia : modelo afín de tres factores
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2015)
The estimation and interpretation of the interest rates term structures of great relevance because it allows to make predictions, is an important key to policy makers on monetary and fiscal decisions, is essential in risk ...