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Option Pricing using Fourier Space Time-stepping Framework

Surkov, Vladimir - 2009

This thesis develops a generic framework based on the Fourier transform for pricing and hedging of various options in equity, commodity, currency, and insurance markets. The pricing problem can be reduced to solving a partial integro-differential equation (PIDE). The Fourier Space Time-stepping...

Persistent link: https://www.econbiz.de/10009455281

Analytical and approximate variance of total project cost

Skitmore, Martin; Ng, S. Thomas - 2002

The statistical variance of total project cost is usually estimated by means of Monte Carlo simulation on the assumption that exact analytic approaches are too difficult. This paper tests that assumption and shows that, contrary to expectations, the analytic solution is relatively...

Persistent link: https://www.econbiz.de/10009437452

The variance of elemental estimates

Skitmore, Martin; Ng, S. Thomas - 2000

One of the factors affecting the success or otherwise of the procurement process is the quality of its financial management. In many cases, particularly in the early stages of a project, this is dependent on the accuracy of forecasts of future costs. For risk management purposes, what is most...

Persistent link: https://www.econbiz.de/10009437537

Sparse Estimation of High-Dimensional Covariance Matrices.

Rothman, Adam J. - 2010

This thesis develops methodology and asymptotic analysis for sparse estimators of the covariance matrix and the inverse … covariance (concentration) matrix in high-dimensional settings. We propose estimators that are invariant to the ordering of the … which combine thresholding with shrinkage applied to the entries of the sample covariance matrix. For both approaches we …

Persistent link: https://www.econbiz.de/10009476576

THE USEFULNESS OF EARNINGS, THE MAGNITUDE OF PRICE CHANGE, AND THE RETURN-EARNINGS COVARIANCE: BEYOND THE ERC AND R²

Cho, Myojung - 2005

This study proposes the return-earnings covariance as a proxy for the usefulness of earnings inferred from the absolute … return-earnings covariance is a close proxy for the absolute magnitude of price change which is free from noise in both … return and earnings. Thus, the return-earnings covariance can be used in long-window studies as well as short-window studies …

Persistent link: https://www.econbiz.de/10009450858

Changing the Support of a Spatial Covariate: A Simulation Study.

Hooks, T.; Pedersen, J.F.; Marx, D.B.; Gaussoin, R.E. - 2007

frequently and in more detail. A combination of geostatisical models and analysis of covariance methods may be used to analyze … when analysis of covariance methods are used, and (iii) the effects of including a covariate whose support differs from …

Persistent link: https://www.econbiz.de/10009429428