Showing 1 - 10 of 10
The pricing of collateralized debt obligations (CDOs) and other basket credit derivatives is contingent upon (i) a realistic modelling of the firms' default times and the correlation between them, and (ii) efficient computational methods for computing the portfolio loss distribution from the...
Persistent link: https://www.econbiz.de/10008609606
We consider samples of geometric random variables and find the average size of the descent after the first and last maximal values. These are asymptotically but not exactly equal, with the descent after the last maximum being slightly larger than that after the first. Thereafter we calculate the...
Persistent link: https://www.econbiz.de/10011189344
Results are presented for approximating the moments of least squares estimators, particularly those of the OLS estimator, and the methodology is illustrated using a simple dynamic model.
Persistent link: https://www.econbiz.de/10011113794
Under model correctness, highly accurate inference on a scalar interest parameter in the presence of a nuisance parameter can be achieved by several routes, among them considering the bootstrap distribution of the signed root likelihood ratio statistic. The context of model mis-specification is...
Persistent link: https://www.econbiz.de/10010574473
This paper deals with properties of three indirect estimators that are known to be (first order) asymptotically equivalent. Specifically, we examine a) the issue of validity of the formal Edgeworth expansion of an arbitrary order. b) Given a), we are concerned with valid moment approximations...
Persistent link: https://www.econbiz.de/10008552086
In this paper we propose a simple non-parametric calibration procedure of option prices based on the short term asymptotics of implied volatilities. The approximation formula is derived for a general one factor jump-diffusion specification nesting most of the theoretical models typically used...
Persistent link: https://www.econbiz.de/10005771811
In this paper we define a set of indirect estimators based on moment approximations of the auxilary estimators. We provide results that describe higher order asymptotic properties of these estimators. The introduction of these is motivated by reasons of analytical and computational facilitation....
Persistent link: https://www.econbiz.de/10008461032
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on numerical experiments we describe the range of time-to-maturity and moneyness for which the approximation is...
Persistent link: https://www.econbiz.de/10005222545
In statistical analyses the complexity of a chosen model is often related to the size of available data. One important question is whether the asymptotic distribution of the parameter estimates normally derived by taking the sample size to infinity for a fixed number of parameters would remain...
Persistent link: https://www.econbiz.de/10005199901