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Mostrando ítems 11-20 de 83
Bayesian Estimation And Prediction Of Stochastic Volatility Models Via Inla
(TAYLOR & FRANCIS INCPHILADELPHIA, 2015)
A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
(Hindawi Publishing CorporationNew York, 2015)
We propose a feasible and constructive methodology which allows us to compute pure hedging strategies with respect to arbitrary
square-integrable claims in incomplete markets. In contrast to previous works based on PDE ...
Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach
(Pontificia Universidad Católica del Perú. Fondo EditorialPE, 2019)
Stochastic convenience yield implied from commodity futures and interest rates
(BLACKWELL PUBLISHING, 2005)
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest ...
Dois ensaios em finanças
(2016-03-22)
We use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock ...
Inferência Bayesiana para modelos de volatilidade estocástica baseados em mistura de escala da distribuição normal assimétrica
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2023-02-28)
This dissertation aims to evaluate and compare the performance of the No-U-Turn Sampler
(NUTS) algorithm, implemented in the Stan software, in estimating the parameters of stochastic
volatility models with leverage based ...
Estimation of volatility of selected oil production projects
(Elsevier Science BvAmsterdamHolanda, 2006)
Estimativa da volatilidade de projetos de bens minerais
(Escola de Minas, 2006)