General one-factor Quasi-Gaussian model
CMS swaps in separable one-factor Gaussian LLM and HJM model
... Copyright c 2006–2007 by Marc Henrard. 1. Introduction Constant Maturity Swaps (CMS) are easy to describe and at first sight may seem easy to price. A CMS is composed of several payments. Like for the floating leg of a ...
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CMS swaps in separable one factor Gaussian LLM and HJM model
... Copyright c 2006–2007 by Marc Henrard. 1. Introduction Constant Maturity Swaps (CMS) are easy to describe and at first sight may seem easy to price. A CMS is composed of several payments. Like for the floating leg of a ...
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Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model
... market model or a swap market model to price exotic interest rate contracts can be a computationally intensive ...use factor models to price interest rate ...quadratic Gaussian model ...
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AN N-FACTOR GAUSSIAN MODEL OF OIL FUTURES PRICES
... The model is calibrated with the use of all daily light sweet crude oil futures prices traded at NYMEX during the 10-year period from January 1992 to December ...The model is estimated with the use of ...
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COMFORT: A common market factor non-Gaussian returns model
... hyperbolic model of Eberlein and Keller (1995), and the CGMY model of Carr et ...our model in option ...the model for multivariate option pricing, we develop a new pricing algorithm which ...
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Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model
... The market for credit default swaps where a corporate is the reference name underlying the credit default swap contract has better liquidity. However the maturities of credit default swaps traded are usually one ...
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GENERAL SYNCHRONIZATION OF COUPLED PAIR OF CHAOTIC ONE-DIMENSIONAL GAUSSIAN MAPS
... during his experiments for developing improved pendulum clocks. Two clocks hanging on the same beam of his room were found to oscillate with exactly the same frequency and opposite phase due to the coupling in terms of ...
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Convergence of Gaussian Belief Propagation Under General Pairwise Factorization: Connecting Gaussian MRF with Pairwise Linear Gaussian Model
... joint Gaussian distribution. However, Gaussian BP is only guaranteed to converge in singly connected graphs and may fail to converge in loopy ...of Gaussian BP are all tailored for one par- ...
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EMPIRICAL BAYES ANALYSIS OF TWO-FACTOR EXPERIMENTS UNDER INVERSE GAUSSIAN MODEL
... Section 3 considers the Bayesian analysis relative to two different conjugate priors. The main results are obtained in section 4. A real-life example previously analyzed by Shuster and Muira [15], and later by Achcar and ...
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A General Characterization of One Factor Affine Term Structure Models
... ONE FACTOR AFFINE TERM STRUCTURE MODELS DAMIR FILIPOVI ´ C ...a general nonnegative Markov short rate ...CIR model but includes as well short rate processes with ...
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HULL-WHITE ONE FACTOR MODEL: RESULTS AND IMPLEMENTATION
... The coefficient β t j 0 is independent of the D-discount factors ratio and a martingale, hence we have the announced result. 8. Other instruments 8.1. Bermudan swaptions. The pricing of Bermudan swaptions in the ...
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Multiple-Curve Valuation with One-Factor Hull-White Model
... discount factor curves. In general, for a single rate derivative such as an interest rate swap, one need two curves, one for discounting and one for the rate, hence a two-factor ...
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The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting
... 6 Finite sample performances: A stylized example A theoretical derivation of optimality properties or asymptotic relative efficiency values is dif- ficult in such a general context. However, some insight into the ...
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Non-Negative Factor Analysis of Gaussian Mixture Model Weight Adaptation for Language and Dialect Recognition
... Fig. 6: The block-diagram of applied classification scheme NIST 2011 LRE and QCRI Arabic DRE experiments. vector) described in Sections II-D, II-C and III. Then, the obtained vectors representing the utterances are ...
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EURODOLLAR FUTURES AND OPTIONS: CONVEXITY ADJUSTMENT IN HJM ONE-FACTOR MODEL
... the general HJM framework with deterministic volatility (than can be found in [ 7 ] and [ 6 ] under the name of Gaussian HJM) and to include the exact futures ...
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Valuing Energy Options in a One Factor Model Fitted to Forward Prices
... of general energy contingent ...However, one of the problems of implementing these models is that often the state variables are unobservable - even the spot price is hard to obtain, with the problems ...
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Factor Price Differences in a General Equilibrium Model of Trade and Imperfect Competition
... when factor prices do not equalize across countries. The model we employ can be seen as an extenstion of the famous Dornbusch-Fischer-Samuelson (DFS) model, Dornbusch et ...without factor ...
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Factor Price Differences in a General Equilibrium Model of Trade and Imperfect Competition
... different factor prices will be ma- terialized unambiguously only in industries that are hosted by South, whereas the trade-induced changes in firm size and/or per-capita consumption are ...which factor ...
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Factor Price Differences in a General Equilibrium Model of Trade and Imperfect Competition
... different factor prices will be ma- terialized unambiguously only in industries that are hosted by South, whereas the trade-induced changes in firm size and/or per-capita consumption are ...which factor ...
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Middle atmosphere effects of the quasi two day wave determined from a General Circulation Model
... the model and then all of the results are scaled by a single multiplicative factor to pro- vide a meridional wind amplitude in the lower-thermosphere which is consistent with ...nonlinear model it is ...
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