Narrow search
Showing 1 - 10 of 9,769
Cover Image
Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
Cover Image
SV mixture : classification using EM algorithm
Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - 2013
with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …
Persistent link: https://www.econbiz.de/10009755511
Cover Image
Quasi- Monte Carol methods for the Heston model
Baldeaux, Jan; Roberts, Dale - 2012
Persistent link: https://www.econbiz.de/10009564454
Cover Image
Particle filters for Markov switching stochastic volatility models
Yun, Bao; Chiarella, Carl; Kang, Boda - 2012
Persistent link: https://www.econbiz.de/10009564477
Cover Image
Multi-factor RFG-LSTM algorithm for stock sequence predicting
Su, Zhi; Xie, Heliang; Han, Lu - In: Computational economics 57 (2021) 4, pp. 1041-1058
Persistent link: https://www.econbiz.de/10012543252
Cover Image
Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and …
Persistent link: https://www.econbiz.de/10014541693
Cover Image
Effect of volatility fluctuations on optimal execution schedules
Criscuolo, Adriana M.; Waelbroeck, Henri - In: The journal of trading 9 (2014) 4, pp. 82-90
Persistent link: https://www.econbiz.de/10011291061
Cover Image
Effect of Volatility Fluctuations on Optimal Execution Schedules
Criscuolo, Adriana - 2019
fair pricing theory of market impact and the Heston model for volatility. We use computer optimization to solve common …
Persistent link: https://www.econbiz.de/10012904961
Cover Image
Forecasting realized volatility with linear and nonlinear univariate models
McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008689073
Cover Image
A Bayesian analysis of unobserved componment models using ox
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907811