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Asymptotically Optimal Algorithm for Short-Term Trading Based on the Method of Calibration
Asymptotically Optimal Algorithm Short-Term Trading the Method of Calibration Artificial Intelligence
2012/6/5
A trading strategy based on a natural learning process, which asymptotically outperforms any trading strategy from RKHS (Reproduced Kernel Hilbert Space), is presented. In this process, the trader rat...
Smiles all around: FX joint calibration in a multi-Heston model
FX joint calibration multi-Heston model Pricing of Securities
2012/3/2
Multi-currency FX derivatives offer a challenging playground to the mathematical modelling of correlations. Quotes of liquidly traded vanilla options on cross FX rates, e.g. EUR/JPY, can be used to ex...
Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts
Valuation Energy Multi-Asset Derivative Contracts
2010/12/13
We study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil prices at differe...