[图书][B] Yield curve modeling and forecasting: the dynamic Nelson-Siegel approach
FX Diebold, GD Rudebusch - 2013 - degruyter.com
Understanding the dynamic evolution of the yield curve is critical to many financial tasks,
including pricing financial assets and their derivatives, managing financial risk, allocating …
including pricing financial assets and their derivatives, managing financial risk, allocating …
Sequentially adaptive Bayesian learning algorithms for inference and optimization
J Geweke, G Durham - Journal of Econometrics, 2019 - Elsevier
The sequentially adaptive Bayesian learning algorithm (SABL) builds on and ties together
ideas from sequential Monte Carlo and simulated annealing. The algorithm can be used to …
ideas from sequential Monte Carlo and simulated annealing. The algorithm can be used to …
Application of Sequential Monte Carlo Methods to Dynamic Asset Pricing Models
L Gonzato - 2020 - boa.unimib.it
In this thesis we consider the application of Sequential Monte Carlo (SMC) methods to
continuous-time asset pricing models. The first chapter of the thesis gives a self-contained …
continuous-time asset pricing models. The first chapter of the thesis gives a self-contained …
在交易雜訊下估計具違約邊界之結構化信用風險模型
袁倫賜， 李漢星 - 2011 - ir.lib.nycu.edu.tw
在2007 年的全球金融風暴過後, 不僅學術界對企業的違約風險非常的重視, 實務界亦然, 因此,
如何能夠更準確的預測企業違約風險成為一個重要的研究課題. 本篇研究根據Duan and Fulop …
如何能夠更準確的預測企業違約風險成為一個重要的研究課題. 本篇研究根據Duan and Fulop …