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On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for Options Pricing
On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for Options Pricing In this paper, we illustrate how to value American-style options using the ...- Authors: Yu Zhou
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial economics; Economics>Financial markets; Modeling & Statistical Methods>Regression analysis
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Econophysics: Making Money before Doomsday
Econophysics: Making Money before Doomsday This article, with some humor, describes a movement known as “econophysics” of physicists modeling economic systems, including capital markets, using ...- Authors: Shane Francis Whelan
- Date: Feb 2005
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Economics>Financial markets; Modeling & Statistical Methods
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The Actuary Vol. 22, No. 2 After The Crash: Statistical Implications
The Actuary Vol. 22, No. 2 After The Crash: Statistical Implications This article considers considers how the assumptions and statistical methods used to analyze investments are likely to change ...- Authors: Aaron Tenenbein
- Date: Feb 1988
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: The Actuary Magazine
- Topics: Economics>Financial markets; Modeling & Statistical Methods>Asset modeling
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Modeling Capital Market with Financial Signal Processing
Modeling Capital Market with Financial Signal Processing This paper discusses the theoretic framework of modeling captial markets: index-based composition methodology and statisical procedure of ...- Authors: Jenher Jeng
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial markets; Modeling & Statistical Methods>Stochastic models
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Modeling Assumptions
Modeling Assumptions This article focuses on one fundamental modeling assumption — the choice of a benchmark rate or risk-free rate. The author looks at this bond market assumption as a case ...- Authors: Catherine Ehrlich
- Date: Feb 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Economics>Financial markets; Modeling & Statistical Methods
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The Devil Is In The Interactions
The Devil Is In The Interactions This article introduces the reader to probabilistic methods used to model interactions in the financial market place. Three topics are specifically discussed, two ...- Authors: Michael A Ekhaus
- Date: Feb 2008
- Competency: External Forces & Industry Knowledge
- Publication Name: The Actuary Magazine
- Topics: Economics>Financial markets; Modeling & Statistical Methods