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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
• 4 different markets – Canada: S&P TSX total return index – U.S.: S&P 500 total return index – U.K. ... Different pairs of markets considered – Canada – U.S. (high correlation) – U.S. – Japan (low correlation) • Globa ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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Fuzzy Volatility Forecasts and Fuzzy Option Values
a fuzzy subset of X . Then the support of A, S(A), is S(A) = {x ∈ X : µA(x) > 0} The height h(A) of ... q) Errors yt − µ¯ = ∞∑ j=0 ψ¯jat−j , where ψj ′s are such that ∞∑ j=0 ∫ 1 0 (ψ2j1(γ) + ψ 2 j2(γ))γ ...- Authors: Ranee Thiagarajah
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models