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Building a consistent pricing model from observed option prices

Laurent, Jean-Paul; Leisen, Dietmar - 1998

Persistent link: https://www.econbiz.de/10001355935

Estimating income mobility in Colombia using maximum entropy econometrics

Morley, Samuel; Robinson, Sherman; Harris, Rebecca Lee - 1999 - Rev

Persistent link: https://www.econbiz.de/10001366370

Building a consistent pricing model from observed option prices

Laurent, Jean-Paul; Leisen, Dietmar - 1999

Persistent link: https://www.econbiz.de/10001380392

Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438

Persistent link: https://www.econbiz.de/10009776434

Beta, sigma and club convergence : Indian experience from 1980 to 2015

Hembram, Sulekha; Haldar, Sushil Kumar - In: Indian economic review : official journal of Delhi … 54 (2019) 2, pp. 343-366

Persistent link: https://www.econbiz.de/10012225942

Maximum entropy approach for an unreliable M×/G/1 queueing system with Bernoulli vacation, restricted admission and delayed phase repair under N-policy

Jain, Madhu; Sharma, G. C.; Rani, Varsha - In: International journal of services and operations management 23 (2016) 4, pp. 407-442

Persistent link: https://www.econbiz.de/10011588637

"Speculative Influence Network" during financial bubbles : application to Chinese stock markets

Lin, Li; Sornette, Didier - In: Journal of economic interaction and coordination : JEIC 13 (2018) 2, pp. 385-431

Persistent link: https://www.econbiz.de/10011962258

Bayesian credibility for GLMs

Xacur, Oscar Alberto Quijano; Garrido, José - In: Insurance / Mathematics & economics 83 (2018), pp. 180-189

Persistent link: https://www.econbiz.de/10011944127

Micro-macro connected stochastic dynamic economic behavior systems

Judge, George G. - In: Econometrics : open access journal 6 (2018) 4, pp. 1-14

is based on stochastic individual behavior at the micro level. We demonstrate the use of entropy-divergence methods and …

Persistent link: https://www.econbiz.de/10011945780

A continuous-time inequality measure applied to financial risk : the case of the European Union

D'Amico, Guglielmo; Regnault, Philippe; Scocchera, Stefania - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-16

In this paper, we apply information theory measures and Markov processes in order to analyse the inequality in the distribution of the financial risk in a pool of countries. The considered financial variables are sovereign credit ratings and interest rates of sovereign government bonds of...

Persistent link: https://www.econbiz.de/10011884177