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Pricing multi-asset options with levy copulas
Dushimimana, Jean Claude - 2011
[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … op meervoudige bates.Ons gebruik die nuwe konsep van Levy copulas, wat deur Tankov[40] ingelei is. Levycopulas laat toe … van meerveranderlike Levy prosessemet behulp van Levy copulas. Daarna bepaal ons die pryse van opsies op meervoudige …
Persistent link: https://www.econbiz.de/10009442040
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An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
Shiraya, Kenichiro - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-20
Persistent link: https://www.econbiz.de/10012496929
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Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
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Pricing a bivariate option with copulas
Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10012253407
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Methods for Stratified Cluster Sampling with Informative Stratification
Scott, A.; Wild, C. - 2007
We look at fitting regression models using data from stratified cluster samples when the strata may depend in some way on the observed responses within clusters. One important subclass of examples is that of family studies in genetic epidemiology, where the probability of selecting a family into...
Persistent link: https://www.econbiz.de/10009483175
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'Online' monitoring and retrospective analysis of hospital outcomes based on a scan statistic
Ismail, Noor A.; Pettitt, Anthony N.; Webster, Ronald A. - 2003
Statistical tests based on the scan statistic are introduced for detecting possible increases in the occurrence of hospital events. The tests use a moving window and the theoretical aspects of the tests are investigated using Markov chain theory. The main objective of this study is to provide a...
Persistent link: https://www.econbiz.de/10009483439
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Inferential, nonparametric statistics to assess the quality of probabilistic forecast systems
Maia, AHN; Meinke, HB; Lennox, S; Stone, RC - 2007
Many statistical forecast systems are available to interested users. To be useful for decision making, these systems must be based on evidence of underlying mechanisms. Once causal connections between the mechanism and its statistical manifestation have been firmly established, the forecasts...
Persistent link: https://www.econbiz.de/10009484276
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Modeling online social networks using Quasi-clique communities
Botha, Leendert W. - 2011
Thesis (MSc (Mathematical Sciences))--Stellenbosch University, 2011
Persistent link: https://www.econbiz.de/10009429593
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Model risk for barrier options when priced under different lévy dynamics
Mbakwe, Chidnima - 2011
Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.
Persistent link: https://www.econbiz.de/10009429599
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Information quality of environmental and chemical databases exemplified by high production volume chemicals and pharmaceuticals
Voigt, Kristina; Brüggemann, Rainer; Pudenz, Stefan - In: Online Information Review 30 (2006) 1, pp. 8-23
Purpose – The purpose of this research is to establish that data on chemicals detected in the environment are urgently needed to comply with the future environment and chemicals policy in the European Union. The availability of data on chemicals can be evaluated by environmetrical and...
Persistent link: https://www.econbiz.de/10014965582