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Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios
Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios ... volatility parameter = obs (1 F )dt (2.1.4) This direct calculation eliminates the need to incorporate ...- Authors: James Bridgeman
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas
Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas The series expansion ... b'(j) (0) 35 1b' (ct) (nj) t=0 Finally a direct calculation gives b'(j) (0) = ijj? and h 1b'(ct)i(nj) ...- Authors: James Bridgeman
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models