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Pricing Temperature Derivatives for Munich
Osipenko, Maria - 2009
Different weather events play an important role for industries with profits depending on temperature or other weather conditions. A market for trading on temperature events has recently emerged. The traded financial contracts allowing to transfer weather risks are called weather derivatives. The...
Persistent link: https://www.econbiz.de/10009467144
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Estimating Probabilities of Default using Support Vector Machines
Sebe-Vodislav, Razvan-Alexandru - 2009
Optimizing capital allocation by better estimating probability of default requires generally new model selection. An analysis of German solvent and default companies was performed using the promising Support Vector Machines (SVM) methodology. The analysis shows good performance of the SVM...
Persistent link: https://www.econbiz.de/10009467146
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Pricing of Asian temperature risk
López Cabrera, Brenda - 2009
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10009467147
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Essays on the use of e-Learning in statistics and the implementation of statistical software
Ziegenhagen, Uwe - 2009
des e-Learning in der Statistik-Ausbildung liegen. Kapitel 3, Koautoren Wolfgang Härdle und Sigbert Klinke, gibt … der "International Statistical Review", die eine technische Lösung für die Verbesserung des Verständnisses der Statistik … Statistik. Weiterhin stellt es die Quantnet Plattform vor, eine Plattform für die Verwaltung von Programmen und Daten. In …
Persistent link: https://www.econbiz.de/10009467154
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Models for Interest Rates and Interest Rate Derivatives
Groth, Lasse - 2009
This thesis gives an introduction to the principles of modern interest rate theory. After covering the basic tools for working in an environment with stochastic interest rates, we introduce different models for the term structure. The principals of risk neutral pricing are introduced and the...
Persistent link: https://www.econbiz.de/10009467155
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Measuring Risk with Extreme Value Theory
Georgescu, Vladimir - 2009
Persistent link: https://www.econbiz.de/10009467156
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Credit Quality Correlation Structure in the Emerging Markets
Boytsova, Tatiana - 2009
One-factor models claim, that credit quality of a firm is determined by some general factor (e.g. country condition) and individual factors. Further models expand the list of common factors, and introduce, e.g., industry condition as the common factor that drives credit quality correlation. The...
Persistent link: https://www.econbiz.de/10009467161
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Adaptive Interest Rate Modelling
Guo, Mengmeng - 2010
Persistent link: https://www.econbiz.de/10009467171
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MD*Book Online
Witzel, Rodrigo - 2001
Persistent link: https://www.econbiz.de/10009467180