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In this paper, we show how to calibrate the most usual stochastic processes: arithmetic and geometric Brownian motions,, mean-reverting processes and jump processes. This paper contains also many applications to Canadian financial data. We observe, among other phenomena, that a mean-reverting...
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Monte Carlo simulation has an advantage upon the binomial tree as it can take into account the multidimensions of a problem. However it convergence speed is slower. In this article, we show how this method may be improved by various means: antithetic variables, control variates and low...
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evolution of these models towards the pricing of more complex structured derivatives, like TARN and we also briefly analyse more …
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. This paper contributes to this literature by estimating several models of default probability, two of which relax two key … for the banking groups as well as for the Luxembourg banks. Finally, this study illustrates how models of default … probability can be used for event-study purposes, for simulation exercises, and for ranking default probabilities during a period …
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