Model calibration for financial assets with mean-reverting price processes

Model calibration for financial assets with mean-reverting price processes

Master's

Saved in:

書目詳細資料
主要作者:	CHEN DIHUA
其他作者:	MATHEMATICS
格式:	Theses and Dissertations
語言:	English
出版:	2010
主題:	Model calibration, Mean-reverting process, Inverse problem, Optimal control, Distribution correction, Weighted Monte-Carlo simulation.
在線閱讀:	http://scholarbank.nus.edu.sg/handle/10635/15686
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	National University of Singapore
語言:	English

相似書籍

On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
由: Li, X., et al.
出版: (2014)

Stochastic volatility - Fast mean-reverting stochastic volatility processes in finance
由: NICOLAS GUIBERT
出版: (2010)

PRACTICAL INVESTIGATIONS ON BAYESIAN INVERSE PROBLEMS
由: MUZAFFER EGE ALPER
出版: (2016)

HAMILTONIAN MONTE CARLO VARIANTS
由: AU KHAI XIANG
出版: (2023)

Characterizing and identifying reverted commits
由: YAN, Meng, et al.
出版: (2019)

INVERSE PROBLEMS IN IMAGING: FROM REGULARIZATION METHODS TO SELF-SUPERVISED LEARNING METHODS
由: WANG WEIXI
出版: (2023)

HARNESSING MOLECULAR MECHANISMS OF DRUG RESISTANCE TO REVERT RESISTANCE TO TOP2 INHIBITORS (DOXORUBICIN)
由: CORONEL CARRION LUIS EDUARDO
出版: (2017)

A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
由: Li, X., et al.
出版: (2014)

Pricing multi-dimension American options by simulation
由: SUN JUNHUA
出版: (2010)

ANALYSIS OF TRADING BOUNDARIES IN PORTFOLIO SELECTION AND CALIBRATION OF STOCHASTIC LOCAL VOLATILITY MODELS
由: LI JINTAO
出版: (2025)

Sampling calibration of ion implantation profiles in crystalline silicon from 0.1 to 300 keV using Monte Carlo simulations
由: Chan, H.Y., et al.
出版: (2014)

Bayesian calibration of building energy models with large datasets
由: Chong, Adrian, et al.
出版: (2021)

Calibration of Stochastic Volatility Models: A Tikhonov Regularization Approach
由: TANG LING
出版: (2015)

A state-space partitioning method for pricing high-dimensional American-style options
由: Jin, X., et al.
出版: (2014)

Empirical analysis and calibration of the CEV process for pricing equity default swaps
由: Baaquie, B.E., et al.
出版: (2014)

Raman Monte Carlo Simulation for light propagation for tissue with embedded objects
由: Periyasamy, Vijitha, et al.
出版: (2018)

Monte Carlo simulation of light propagation in stratified water
由: DEWKURUN NARVADA
出版: (2010)

Worm algorithm and its application
由: LUO JIE
出版: (2010)

Theoretical study of the behaviour of sputter-roughened surfaces
由: ONG SHEAU WEI
出版: (2010)

ERROR REGIONS FOR SELF-CALIBRATING QUANTUM TOMOGRAPHY AND SAMPLING OF QUANTUM CHANNELS
由: SIM JUN YAN
出版: (2020)

Marikina flood hazard models using historical data of water level
由: De Lara-Tuprio, Elvira P, et al.
出版: (2018)

Pricing of range accrual swap in the quantum finance Libor Market Model
由: Baaquie, B.E., et al.
出版: (2014)

BAYESIAN INFERENCE FOR LATENT VARIABLE MODELS
由: DENG LU
出版: (2020)

Adaptive proposal length scale in Subset Simulation
由: Au, Siu-Kui, et al.
出版: (2025)

Two- Dimensional Inverse Scattering Problems of PEC and Mixed Boundary Scatterers
由: YE XIUZHU
出版: (2012)

Monte Carlo simulation of surface segregation in nanoparticles
由: Jayaganthan, R., et al.
出版: (2014)

An improved subspace-based optimization method and its implementation in solving three-dimensional inverse problems
由: Zhong, Y., et al.
出版: (2014)

Monte carlo simulation by code of MCNP and experimental check for measuring thickness of materials for the spec raltzrng system of MYO-101
由: Bui, Van Loat, et al.
出版: (2017)

Randomized algorithms for control of uncertain systems with application to hand disk drives
由: MOHAMMADREZA CHAMANBAZ
出版: (2014)

Comparison of sampling techniques for a parametric yield optimization algorithm
由: Palvannan, K.
出版: (2014)

Using Monte Carlo Simulation as a Financial Modeling Tool to Support Sustainability Efforts of a Government Agency
由: Leggio, Karyl B., et al.
出版: (2019)

ON DERIVATIVES AND DERIVATIVES PRICING
由: CHEN SI
出版: (2019)

Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
由: Chan, H.P., et al.
出版: (2014)

Monte Carlo Multiple-source Model for 6 mV Photon Beams from Varian Clinac iX Linear Accelerator
由: Thorfun Tapanya, et al.
出版: (2022)

Optimizing light delivery through fiber bundle in photoacoustic imaging with clinical ultrasound system: Monte Carlo simulation and experimental validation
由: Sivasubramanian, Kathyayini, et al.
出版: (2017)

Transition matrix Monte Carlo
由: Swendsen, R.H., et al.
出版: (2014)

Design of shading‐ and hotspot‐resistant shingled modules
由: Clement, Carlos Enrico, et al.
出版: (2021)

M2ICAL: A technique for analyzing imperfect comparison algorithms using Markov chains
由: OON WEE CHONG
出版: (2010)

A neural network approach for simulating stationary stochastic processes
由: Beer, M., et al.
出版: (2014)

Underground Excavation in Jointed Rocks
由: JIAO XUGUANG
出版: (2015)