Similar Search Results

Bewertung nicht redundanter Finanzderivate mittels Entropie und Cross-Entropie

Branger, Nicole - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001653604

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2013

by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates exhibit information about …

Persistent link: https://www.econbiz.de/10010193341

Utility indifference pricing and hedging for structured contracts in energy markets

Callegaro, Giorgia; Campi, Luciano; Giusto, Valeria; … - In: Mathematical methods of operations research 85 (2017) 2, pp. 265-303

Persistent link: https://www.econbiz.de/10011714437

A Bayesian pricing of longevity derivatives with interest rate risks

Kogure, Atsuyuki; Fushimi, Takahiro - In: Asia-Pacific journal of risk and insurance : APJRI 12 (2018) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10011813899

Forward exponential indifference valuation in an incomplete binomial model

Musiela, Marek; Sokolova, E.; Zariphopoulou-Souganidis, … - In: Advanced modelling in mathematical finance : in honour …, (pp. 277-302). 2016

Persistent link: https://www.econbiz.de/10011800382

An entropy-based approach for nonparametrically testing simple probability distribution hypotheses

Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19

In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be … alternative test statistics, the proposed entropy test is free from user-specified kernel and bandwidth choices, idiosyncratic and …

Persistent link: https://www.econbiz.de/10012805047