Search Results - subject:"probability density"

Online Variable Kernel Estimator: Application to Microarray Data Analysis

Lakhdar, Yissam; Sbai, El Hassan - In: International Journal of Operations Research and … 8 (2017) 1, pp. 58-92

In this work, the authors propose a novel method called online variable kernel estimation of the probability density … probability density function from the new arrival data. The performance of the online variable kernel estimator (OVKE) depends on …

Persistent link: https://www.econbiz.de/10012046926

Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits

Feng, Runhuan; Jing, Xiaochen - In: Insurance / Mathematics & economics 72 (2017), pp. 36-48

Persistent link: https://www.econbiz.de/10011691495

Negative real interest rates

Chen, Jing; Ma, Diandian; Song, Xiaojong; Tippett, Mark - In: The European journal of finance 23 (2017) 13/15, pp. 1447-1467

Persistent link: https://www.econbiz.de/10012014690

Why cannot we have a strongly consistent family of skew normal (and higher order) distributions

Thongchai Dumrongpokaphan; Kreinovich, Vladik - In: Robustness in econometrics, (pp. 69-77). 2017

Persistent link: https://www.econbiz.de/10011800956

A lattice framework with smooth convergence for pricing real estate derivatives with stochastic interest rate

Zou, Dong; Gong, Pu - In: The journal of real estate finance and economics 55 (2017) 2, pp. 242-263

Persistent link: https://www.econbiz.de/10011800538

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Jobert, Arnaud; Kong, Janet; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2004

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it...

Persistent link: https://www.econbiz.de/10005826670

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10005605330

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. - 2011

its first hitting time probability density. The model is general in that it can be used for any financial instrument. The … advantage of the model is that the profit from the trades can be easily calculated if the first hitting time probability density … probability density of a mean-reverting process is approximately known, the profit model for energy futures price spreads is given …

Persistent link: https://www.econbiz.de/10010304718

Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor

Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - 2011

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …

Persistent link: https://www.econbiz.de/10011605437

New variational Bayesian approaches for statistical data mining : with applications to profiling and differentiating habitual consumption behaviour of customers in the wireless tel...

Wu, Burton - 2011

This thesis investigates profiling and differentiating customers through the use of statistical data mining techniques. The business application of our work centres on examining individuals’ seldomly studied yet critical consumption behaviour over an extensive time period within the context of...

Persistent link: https://www.econbiz.de/10009438102