๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Stochastic regression and its application to hedging in finance

โœ Scribed by BingYi Jing; XinBing Kong; Zhi Liu; Bo Zhang


Book ID
107347985
Publisher
SP Science China Press
Year
2009
Tongue
English
Weight
201 KB
Volume
52
Category
Article
ISSN
1674-7283

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Ridge regression and its application to
โœ R.K. Jain ๐Ÿ“‚ Article ๐Ÿ“… 1985 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 282 KB

In this paper, data analysis techniques are employed to investigate the optimal properties of the ridge estimators and the stability of regression estimates. Numerical examples from the medical field are taken to compare the predictive ability of ridge regression analysis to that of ordinary regress

Application in stochastic volatility mod
โœ Ping Chen; Jinde Wang ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 267 KB ๐Ÿ‘ 1 views

## Abstract In regression model with stochastic design, the observations have been primarily treated as a simple random sample from a bivariate distribution. It is of enormous practical significance to generalize the situation to stochastic processes. In this paper, estimation and hypothesis testin

Approximation of Multiple Stochastic Int
โœ C.W. Li; X.Q. Liu ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 671 KB

As multiple stochastic integrals are not very easy to simulate, we would like to treat them as solutions of systems of stochastic differential equations and solve them successively and recursively approximated by the stochastic Taylor expansion as a Chen series in terms of a Philip Hall basis or Lyn