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Quantization-based Bermudan option pricing in the foreign exchange world
Fayolle, Jean-Michel; Lemaire, Vincent; Montes, Thibaut; … - In: The journal of computational finance 25 (2021) 2, pp. 87-128
Persistent link: https://www.econbiz.de/10012938894
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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
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Reduced basis methods for option pricing and calibration
Burkovska, Olena - 2016
Persistent link: https://www.econbiz.de/10012545679
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Complexity reduction for calibration to American options
Burkovska, Olena; Glau, Kathrin; Mahlstedt, Mirco; … - In: The journal of computational finance 23 (2019) 1, pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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Calibration to American options : numerical investigation of the de-Americanization method
Burkovska, O.; Gass, M.; Glau, Kathrin; Mahlstedt, M.; … - In: Quantitative finance 18 (2018) 7, pp. 1091-1113
Persistent link: https://www.econbiz.de/10011911523
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The role of temperature in economic exchange : an empirical analysis
Dimitrijević, Bojan; Lovre, Ivan - In: Journal of central banking theory and practice 4 (2015) 3, pp. 65-89
Persistent link: https://www.econbiz.de/10011373218
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Real-time macroeconomic data and uncertainty
Glass, Katharina; Fritsche, Ulrich - 2015 - 2nd updated version
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncertainty. This paper adds on...
Persistent link: https://www.econbiz.de/10011298898
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011457568
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30
impact of the Global Financial Crisis. We apply a series of non-parametric based tests utilizing entropy based metrics. These … suggest that the PDFs and CDFs of these two return distributions change shape in various subsample periods. The entropy and MI … relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the …
Persistent link: https://www.econbiz.de/10011555743
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Real-time information content of macroeconomic data and uncertainty : an application to the Euro area
Glass, Katharina; Fritsche, Ulrich - 2014
three methods: descriptive error statistics, signal-to-noise ratios and entropy measures. Our results document a trend of …, Euro area signal-noise-ratios and entropy measures are correlated with popular uncertainty proxies, Euro area news …
Persistent link: https://www.econbiz.de/10010425751