Pricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend respectively. Prices are calculated by...

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned quantities,...

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...

Pricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend respectively. Prices are calculated by...

The advantage of quantum mechanics to shift up the ability to econometrically understand extreme tail losses in financial data has become more desirable, especially in cases of Value at Risk (VaR) and Expected Shortfall (ES) predictions. Behind the non-novel quantum mechanism, it does...