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Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random...

Persistent link: https://www.econbiz.de/10010270700

Accelerating the calibration of stochastic volatility models

Kilin, Fiodar - 2007

comparison is the choice of the fastest method for the calibration of stochastic volatility models, e.g. Heston, Bates, Barndorff …-Nielsen-Shephard models or Levy models with stochastic time. We show that using additional cache technique makes the calibration with the … direct integration method at least seven times faster than the calibration with the fractional FFT method. …

Persistent link: https://www.econbiz.de/10010301715

A stochastic volatility libor model and its robust calibration

Belomestny, Denis; Matthew, Stanley; Schoenmakers, John … - 2007

processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The … calibration algorithm is FFT based, so fast and easy to implement. …

Persistent link: https://www.econbiz.de/10010276591

Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...

Persistent link: https://www.econbiz.de/10010300362

Forecasting Interest Rates with Shifting Endpoints

van Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; … - 2012

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields as being stationary, without any shifting...

Persistent link: https://www.econbiz.de/10010326362

Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der 'sichere Hafen'?

Boysen-Hogrefe, Jens - 2012

In the aftermath of the Great Recession and during the debt crisis in the euro area yields on German federal bonds have been exceptionally low. This analysis tries to calculate the profits that the federal government makes due to the low yields. The interest payments that are due to emissions of...

Persistent link: https://www.econbiz.de/10010287008

On the calibration of the Cheyette interest rate model

Beyna, Ingo; Wystup, Uwe - 2010

. Therefore, we apply derivative-free techniques and find that they stabilize the calibration. Furthermore, we identify auspicious … volatility parametrizations determining the Cheyette model. In combination with the established calibration techniques the …

Persistent link: https://www.econbiz.de/10010303800

New recipes for estimating default intensities

Baranovski, Alexander; von Lieres und Wilkau, Carsten; … - 2009

This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral...

Persistent link: https://www.econbiz.de/10010276969

Convergence of Arbitrage-free Discrete Time Markovian Market Models

Leitner, Johannes - 2000

We consider two sequences of Markov chains induc- ing equivalent measures on the discrete path space. We estab- lish conditions under which these two measures converge weakly to measures induced on the Wiener space by weak solutions of two SDEs, which are unique in the sense of probability law....

Persistent link: https://www.econbiz.de/10010324089

An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - 2002

In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums. We find that the model workswell for...

Persistent link: https://www.econbiz.de/10010325053

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