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The binomial interpolated lattice method for step double barrier options
Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-26
Persistent link: https://www.econbiz.de/10010438537
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A estrutura a termo de taxas de juros no Brasil : modelos, estimação e testes
Franklin, Sergio Luis; Duarte, Thiago B.; Neves, César … - In: Economia aplicada : EA 16 (2012) 2, pp. 255-290
Persistent link: https://www.econbiz.de/10011447779
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Generalized Pareto curves : theory and applications
Blanchet, Thomas; Fournier, Juliette; Piketty, Thomas - In: Review of income and wealth 68 (2022) 1, pp. 263-288
Persistent link: https://www.econbiz.de/10013168329
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The success of AdaBoost and its application in portfolio management
Chuan, Yijian; Zhao, Chaoyi; He, Zhenrui; Wu, Lan - In: International journal of financial engineering 8 (2021) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10012662225
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Interpolation and correlation
Franses, Philip Hans - In: Applied economics 54 (2022) 14, pp. 1562-1567
Persistent link: https://www.econbiz.de/10012875525
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What drives the FOMC's dot plots?
Gerlach, Stefan; Stuart, Rebecca - In: Journal of international money and finance 104 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012395238
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Option-implied information : what’s the vol surface got to do with it?
Ulrich, Maxim; Walther, Simon - In: Review of derivatives research 23 (2020) 3, pp. 323-355
Persistent link: https://www.econbiz.de/10012303253
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Issues with the Smith-Wilson method
Lagerås, Andreas; Lindholm, Mathias - In: Insurance / Mathematics & economics 71 (2016), pp. 93-102
Persistent link: https://www.econbiz.de/10011630613
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An efficient convergant lattice method for Asian option pricing with superlinear complexity
Lu, Ling; Xu, Wei; Qian, Zhehui - In: The journal of computational finance 20 (2016/2017) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10011691626
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Chow-Lin x N : how adding a panel dimension can improve accuracy
Bettendorf, Timo; Bursian, Dirk - 2017
Single equation models are well established among academics and practitioners to perform temporal disaggregation of low frequency time series using available related series. In this paper, we propose an extension that exploits information from the cross-sectional dimension. More specifically, we...
Persistent link: https://www.econbiz.de/10011649195