Showing 1 - 10 of 28,332
The paper provides a careful, analytical account of Trygve Haavelmo's unsystematic, but important, use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation...
Persistent link: https://www.econbiz.de/10013098334
approach requires careful specification of the integration and cointegration properties of variables in systems of equations …
Persistent link: https://www.econbiz.de/10012726093
Persistent link: https://www.econbiz.de/10013270502
Hedging of illiquid financial instruments is carried out with liquid instruments that, as a rule, have simpler payoff functions. For example, hedging of Asian or long-dated put options is carried out with vanilla puts, hedging of Bermuda swaptions is done with vanilla swaptions, etc. This kind...
Persistent link: https://www.econbiz.de/10013000625
The recent analytical closed-form result ('http://ssrn.com/abstract=2549033' http://ssrn.com/abstract=2549033) discovered by Market Memory Trading L.L.C. (“MMT”) for the probability density function of the European style options with stochastic volatility, considered within the Heston model,...
Persistent link: https://www.econbiz.de/10013019454
Persistent link: https://www.econbiz.de/10013020217
The first ever explicit formulation of the concept of the option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...
Persistent link: https://www.econbiz.de/10013022328
The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk...
Persistent link: https://www.econbiz.de/10013029750
• The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications "Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options -- True...
Persistent link: https://www.econbiz.de/10013030477