Model calibration for financial assets with mean reverting price processes

... 47 Bibliography 47 Abstract This thesis discusses the model calibration for financial assets with mean- reverting price processes, which is an important topic in mathematical finance ... motion as in the Black-Scholes model cannot properly capture its price behavior, a mean- reverting stochastic process is expected A simple mean- reverting model for an asset price is represented by the ... process, which is suitable for equity prices, but not for the mean reverting asset prices considered here CHAPTER RECOVERY OF LOCAL VOLATILITY FOR SCHWARTZ(1997) MODEL6 In this chapter, we shall...

Tài liệu Báo cáo khoa học: "Translation Model Adaptation for Statistical Machine Translation with Monolingual Topic Information" doc

... Semi-supervised Model Adaptation for Statistical Machine Translation Machine Translation, pages 77-94 Hua Wu, Haifeng Wang and Chengqing Zong 2008 Domain Adaptation for Statistical Machine Translation with ... out-of-domain translation model for domain-specific translation task In detail, we build an adapted translation model in the following steps: • Build a topic- specific translation model to quantify ... according to the predefined topic- specific translation model and the topic posterior distribution of phrases Formally, we incorporate monolingual topic information into translation probability estimation,...

Tài liệu Báo cáo khoa học: "An Entity-Mention Model for Coreference Resolution with Inductive Logic Programming" pdf

... the ordinary entity-mention model with heuristic ﬁrst-order features Conclusions This paper presented an expressive entity-mention model for coreference resolution by using Inductive Logic Programming ... cannot co-refer with “she” The entity-mention model based on Eq (2) performs coreference resolution at an entity-level For simplicity, the framework considered for the entitymention model adopts ... or entity-mention model And our experimental results on the ACE data set shows the model is effective for coreference resolution Related Work There are plenty of learning-based coreference resolution...

Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot

... rates and default by means of a stochastic intensity that will be correlated with the short rate 2.1 Pricing and calibrating CDS with deterministic intensity models Consider the CDS payoﬀ (1) and ... of the interest-rate part to interest-rate data and of the intensity part to credit market data Indeed, in the separable case the credit derivatives desk might ask for the α parameters and the ... functions of rτ in the SSRD CIR++ model, we simply have to discount these scenarios from τ to and then average along scenarios Our results, with the same interest-rate and default- intensity dynamics...

Báo cáo khoa học: Complexes of Thermoactinomyces vulgaris R-47 a-amylase 1 and pullulan model oligossacharides provide new insight into the mechanism for recognizing substrates with a-(1,6) glycosidic linkages docx

... a- (1, 4) glycosidic linkages, and P5_N1 to N5 are linked by a- (1, 4), a- (1, 4), a- (1, 6), and a- (1, 4) glycosidic linkages Although the conformation of P2 is almost equivalent to that of G13, the ... 10 0 2.08 13 7 329 10 0 2 .1 98 12 4 10 0 2.6 59,023 38 446 99.8 0.063 (0 .14 9)b 17 .4 (12 .9)b C2 28 14 0 99.9 0.064 (0 .19 5)b 9.7 (3.6)b P 21 19,275 96.8 0.078 (0 .12 2)b 7.4 (5.4)b C2 12 1.5 50.4 10 7.8 10 4.3 ... (99.2)a 0 .15 4 (0 .15 5)a 0 .18 7 (0. 211 )a 0.005 1. 3 33–2.6 28 12 0 99.7 (99.5)a 0 .15 6 (0 .19 4)a 0.200 (0.254)a 0.006 1. 3 35–2.6 19 ,275 96.7 (84 .1) a 0 .15 0 (0 .18 3)a 0 .19 0 (0.264)a 0.006 1. 3 5038 12 5 452...

Báo cáo khoa học: "A Generative Entity-Mention Model for Linking Entities with Knowledge Base" doc

... The Generative Entity-Mention Model for Entity Linking Knowledge Base In this section we describe the generative entitymention model We first describe the generative story of our model, then formulate ... a new generative model, the entity-mention model, which can leverage heterogenous entity knowledge (including popularity knowledge, name knowledge and context knowledge) for the entity linking ... entity linking, the entity popularity knowledge can provide a priori information to the possible referent entities of a name mention For example, without any other information, the popularity knowledge...

Instructions for Form 8938 (November 2012) Statement of Specified Foreign Financial Assets pot

... a specified foreign financial asset, see Interests in Specified Foreign Financial Assets, later Valuing specified foreign financial assets The value of a specified foreign financial asset for ... more of the following forms, check the box(es) to identify the form( s) where you reported the asset and enter the number of forms filed Form 3520 Form 3520-A Form 5471 Form 8621 Form 8865 Form ... Receipt of Certain Foreign Gifts Form 5471, Information Return of U.S Persons With Respect To Certain Foreign Corporations Form 8621, Information Return by a Shareholder of a Passive Foreign Instructions...

Báo cáo khoa học: "Pattern Learning for Relation Extraction with a Hierarchical Topic Model" pptx

... relations φD captures patterns that are speciﬁc about a certain entity pair, but which are not generalizable across all pairs with the same relation Finally A contains the patterns that are ... 2011 Relation extraction with relation topics In Proceedings of Empirical Methods in Natural Language Processing Daniel S Weld, Fei Wu, Eytan Adar, Saleema Amershi, James Fogarty, Raphael Hoffmann, ... those that are ambiguous and can be applied across relations In this way, high-precision extraction patterns can be learned without the need of any manual intervention Unsupervised relational pattern...

báo cáo hóa học:" Mid-term results of ponseti method for the treatment of congenital idiopathic clubfoot (A study of 67 clubfeet with mean five year follow-up)" pot

... literature The purpose of this study was to evaluate the midterm effectiveness of the Ponseti method [4] for the treatment of congenital idiopathic clubfoot Materials and methods A total of 49 patients ... A method for the early evaluation of the Ponseti (Iowa) technique for the treatment of idiopathic clubfoot J Pediatr Orthop 2003, 12(2):133-40 11 Goksan SB: Treatment of congenital clubfoot with ... initiation of the treatment Side of relapsed foot Relapse Treatment offer to deformity correct the deformity Result of the Result at five Treatment year of follow up Bilateral Left Adductus & Varus Ponseti...

báo cáo hóa học:" Mid-term results of ponseti method for the treatment of congenital idiopathic clubfoot (A study of 67 clubfeet with mean five year follow-up)" docx

Báo cáo hóa học: " Research Article An IEEE 802.11 EDCA Model with Support for Analysing Networks with Misbehaving Nodes" ppt

... area of EDCA models and backoﬀ misbehaviour We verify the model by simulations and show that it outperforms three other IEEE 802.11 models The presented model can be used in game theoretical analysis ... compare simulation and analytical results to (a) verify that the model is correct, (b) show that it outperforms three other models, and (c) prove it can be used to analyse networks with misbehaving ... our model performs correctly for scenarios with misbehaving nodes and (b) misbehaviour as a serious threat to WLANs Our model is, therefore, a considerable contribution to the area of EDCA models...

Báo cáo hóa học: "A Probabilistic Model for Face Transformation with Application to Person Identiﬁcation" pot

... using a face transformation model In the case where we have multiple template images for person P, we should combine them into a single face model ᏹ p (this would require a new formula for the face ... significantly outperform two popular face recognition algorithms, namely eigenfaces and ﬁsherfaces Finally, we outline future work MODELING FACE TRANSFORMATION In this section, we model the transformation ... automatically all the parameters of the face transformation model ᏹ, that is, {w}, {δ }, {Σ}, and transition probabilities {aᏴ } and {aᐂ } A Probabilistic Model for Face Transformation 513 Table 1: HMM notation...

modeling and pricing of swaps for financial and energy markets with st

... 15:36 xx 8660: Modeling and Pricing of Swaps ws-book975x65 Modeling and Pricing of Swaps for Financial and Energy Markets 16.7 16.8 16.6.3 Volatility Swaps for Markets with Stochastic Volatility ... 15:36 10 8660: Modeling and Pricing of Swaps ws-book975x65 Modeling and Pricing of Swaps for Financial and Energy Markets Swishchuk, A (2009a) Pricing of variance and volatility swaps with semi-Markov ... 8660: Modeling and Pricing of Swaps ws-book975x65 Modeling and Pricing of Swaps for Financial and Energy Markets In this chapter, we provide an overview of the diﬀerent types non-stochastic volatilities...

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Báo cáo sinh học: "Inference for threshold models with variance components from the generalized linear mixed model perspective" ppt

... calculated for the values of the variance components obtained for the corresponding full model, ie model 1-5 Variability due to estimation of the variance components is ignored For each line in the ... from the same seed The first series corresponds to the same seed for all configurations Therefore, for the first series, for example for configurations and 8, the design is the same Seeds of the ... does in the conventional mixed model, it is also handicapped by the need for highdimensional numerical integration Maximum likelihood estimation for models with several components of variance, ...

the development of an instrument to measure individual dispositions towards rules and principles; with implications for financial regulation

... an understanding of rules and principles and an analysis of the strengths and weaknesses, advantages and disadvantages, articulated in debate and otherwise claimed for each I report on this analysis ... 1 The development of an instrument to measure individual dispositions towards rules and principles; with implications for financial regulation Ying (Olivia) Feng BAL, MRes, Enterprise Fellow of ... My exploration of gender and cultural differences will be directed towards the development of an understanding of the properties of the DRP instrument RQ6: Are there any gender and cultural differences...

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