๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A Non-Parametric Approach to Pricing and Hedging Derivative Securities: With an Application to LIFFE Data

โœ Scribed by J.A. Barria; S.G. Hall


Book ID
110337957
Publisher
Springer US
Year
2002
Tongue
English
Weight
444 KB
Volume
19
Category
Article
ISSN
1572-9974

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


A regularization approach to continuous
โœ D. Ormoneit ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 101 KB

We consider the training of neural networks in cases where the nonlinear relationship of interest gradually changes over time. One possibility to deal with this problem is by regularization where a variation penalty is added to the usual mean squared error criterion. To learn the regularized network

A flexible parametric selection model fo
โœ James E. Prieger ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 287 KB

## Abstract I examine the effects of insurance status and managed care on hospitalization spells, and develop a new approach for sample selection problems in parametric duration models. MLE of the Flexible Parametric Selection (FPS) model does not require numerical integration or simulation techniq

A NON-PARAMETRIC TEST FOR INTERVAL-CENSO
โœ JIANGUO SUN ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 533 KB

Interest often centres on the comparison of failure time distributions based on interval-censored failure time data such as in the work by Finkelstein, in which she proposed a score test under continuous proportional hazards model. In this article, we consider a different situation in which the unde

A non-linear filtering approach to stoch
โœ Toshiaki Watanabe ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 199 KB ๐Ÿ‘ 2 views

This paper develops a new method for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is dicult to evaluate the exact likelihood. In this paper, a non-linear ยฎlter which yields the exact likelihood of SV models is employed. Solving a series of