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~person:"Joshi, Mark S."
~person:"Owyang, Michael T."
~person:"Varang Wiriyawit"
~subject:"Scientific modelling"
~subject:"Zinsderivat"
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Search: subject_exact:"Monte-Carlo-Verfahren"
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Zinsderivat
Monte Carlo simulation
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Joshi, Mark S.
Owyang, Michael T.
Varang Wiriyawit
Casarin, Roberto
4
Castle, Jennifer
4
Minford, Patrick
4
Oberhofer, Harald
4
Pfaffermayr, Michael
4
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3
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3
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3
Kose, M. Ayhan
3
Kunst, Robert M.
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Lang, Stefan
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Le, Vo Phuong Mai
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Qin, Xiaochuan
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ECONIS (ZBW)
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1
Specification and estimation of Bayesian dynamic factor models : a Monte Carlo analysis with an application to global house price comovement
Jackson, Laura E.
;
Kose, M. Ayhan
;
Otrok, Christopher M.
; …
-
2015
Persistent link: https://www.econbiz.de/10011392890
Saved in:
2
Structural VARs, deterministic and stochastic trends : does detrending matter?
Varang Wiriyawit
;
Wong, Benjamin
-
2015
Persistent link: https://www.econbiz.de/10010528671
Saved in:
3
Structural VARs, deterministic and stochastic trends : does detrending matter?
Varang Wiriyawit
;
Wong, Benjamin
-
2014
Persistent link: https://www.econbiz.de/10011341994
Saved in:
4
Kooderive : multi-core graphics cards, the LIBOR market model, least-squares Monte Carlo and the pricing of cancellable swaps
Joshi, Mark S.
-
2014
Persistent link: https://www.econbiz.de/10010348823
Saved in:
5
Kooderive : Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps
Joshi, Mark S.
-
2014
We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case
Persistent link: https://www.econbiz.de/10013059777
Saved in:
6
An endogenously clustered factor approach to international business cycles
Francis, Neville
;
Owyang, Michael T.
;
Savascin, Özge
-
2012
Persistent link: https://www.econbiz.de/10009530300
Saved in:
7
An endogenously clustered factor approach to international business cycles
Francis, Neville
;
Owyang, Michael T.
;
Savascin, Ozge
- In:
Journal of applied econometrics
32
(
2017
)
7
,
pp. 1261-1276
Persistent link: https://www.econbiz.de/10011862595
Saved in:
8
Structural VARs, deterministic and stochastic trends : how much detrending matters for shock identification
Varang Wiriyawit
;
Wong, Benjamin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
2
,
pp. 141-157
Persistent link: https://www.econbiz.de/10011507446
Saved in:
9
Specification and estimation of Bayesian dynamic factor models : a Monte Carlo analysis with an application to global house price comovement
Jackson, Laura E.
;
Kose, M. Ayhan
;
Otrok, Christopher M.
; …
- In:
Dynamic factor models
,
(pp. 361-400)
.
2016
Persistent link: https://www.econbiz.de/10011448672
Saved in:
10
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
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