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Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least...
Persistent link: https://www.econbiz.de/10012980091
Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy. The pricing of certificates is typically performed...
Persistent link: https://www.econbiz.de/10014327175
Estimation of agent-based models is currently an intense area of research. Recent contributions have to a large extent … resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however … inference. Here we resort to Sequential Monte Carlo (SMC) estimation based on a particle filter. This approach is used here to …
Persistent link: https://www.econbiz.de/10011748807
This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does … FABMs estimation purposes. To start with, we apply the methodology to the popular and widely analysed model of Brock and …
Persistent link: https://www.econbiz.de/10011448663
Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate …
Persistent link: https://www.econbiz.de/10013038504
In the current paper, we study the stability and the survival probabilities of enterprises and banks within a prolonged duration of the debt-crisis, with Monte Carlo simulation. We utilize historical data from banks and enterprises within the debt-crisis to define crisis-variability and...
Persistent link: https://www.econbiz.de/10011410155
high-dimensional space, where estimation of the predictive regression model is based on a shrinkage estimator to avoid …
Persistent link: https://www.econbiz.de/10011382698
. We embed this method for approximating the solution to the dynamic problem within an estimation routine and prove that it …
Persistent link: https://www.econbiz.de/10013107595
Credit value adjustment (CVA) and related charges have emerged as important risk factors following the Global Financial Crisis. These charges depend on uncertain future values of underlying products, and are usually computed by Monte Carlo simulation. For products that cannot be valued...
Persistent link: https://www.econbiz.de/10013001225
A simple and readily computable algorithm is developed for approximating the low moments of order deviates from any continuous distribution. The results are compared with those obtained from exact closed form moments, obtained from quadrature as well as other non-Monte Carlo integral computations
Persistent link: https://www.econbiz.de/10012779480