搜索结果: 1-3 共查到“数量经济学 Calibration”相关记录3条 . 查询时间(0.142 秒)
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Second Order Multiscale Stochastic Volatility Asymptotics Stochastic Terminal Layer Analysis Calibration
2012/9/14
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
Calibration of optimal execution of financial transactions in the presence of transient market impact
Calibration financial transactions market
2012/9/14
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A ...
Calibration of Chaotic Models for Interest Rates
Positive interest rate models Wiener chaos model calibration
2011/7/4
In this paper we calibrate chaotic models for interest rates to market data using a
polynomial{exponential parametrization for the chaos coecients. We identify a subclass of one{
variable models th...