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Showing 1 to 20 of 45 for “"Characteristic function"”.

  1. Characteristic function pricing with the Heston-LIBOR hybrid model

    Sterley, ChristopherAfrican Institute of Financial Markets and Risk Management2019

    We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived …

    cape-town Repository record

  2. Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model

    Van Gysen, Richard JohnAfrican Institute of Financial Markets and Risk Management2019

    … a simplification of the instantaneous volatility function originally proposed in the Trolle and Schwartz (2008) model. This case happens to be the stochastic volatility version of the Hull and White (1990) model. The two solutions are compared to an ODE solver for one stochastic volatility term …

    cape-town Repository record

  3. Detection and Kirchhoff-type migration of seismic events by use of a new characteristic function

    Hendriyana, AndriUniversität Potsdam

    … amplitudes of seismograms along a travel time function. The location of seismic event and its origin time are determined based on the highest stacked amplitudes (coherency) of the image function. The method promotes an automatic processing since it does not need travel time picks as input data. …

    potsdam-diss Repository record

  4. Nonparametric testing for random effects in mixed effects models based on the piecewise linear interpolate of the log characteristic function

    Bawawana, BavwidinsiUniversity of Illinois at Urbana-Champaign2013

    … on the piecewise linear interpolate of the log characteristic function along the grid when the number of replications is low. The ideas behind this approach were presented first by Meintanis and Portnoy (2011). The best initial grid and grid length were found, and empirical powers from the …

    uiuc Repository record

  5. Statistical inference based on characteristic functions for intractable likelihood problems

    Yang, FanUniversity of Illinois at Urbana-Champaign2018

    … is devoted to statistical inference based on characteristic functions. For some popular stochastic processes (e.g., Lévy processes, Lévy driven Ornstein-Uhlenbeck processes), the transition density may not be available. However, the (conditional) characteristic function is sometimes known. We …

    uiuc Repository record

  6. Approximating the Heston-Hull-White Model

    Patel, RiazAfrican Institute of Financial Markets and Risk Management2019

    … HullWhite components are uncorrelated, an exact characteristic function for the HHW model can be derived. In contrast, when the components are correlated, the more useful case for the pricing of hybrid claims, an exact characteristic function cannot be obtained. Grzelak and Oosterlee (2011) …

    cape-town Repository record

  7. Discrete dynamical systems in solving H-equations

    Chen, JunVirginia Tech1995

    … H-equation with a positive or negative characteristic function. Two of them produce series of continuous functions which converge to the solution of the H-equation. An iteration model of the nth approximation for the H-equation is discussed. This is a nonlinear n-dimensional dynamical …

    vt Repository record

  8. Comparison of concurrent and separate multidimensional IRT linking of item parameters.

    Simon, Mayuko Kanada2008

    … MIRT linking (concurrent calibration, the test characteristic function (TCF), the item characteristic function (ICF), the direct method, and Min's methods). RMSE and bias were applied as the indices of linking quality. The results of this study suggest that concurrent calibration generally …

    umn Repository record

  9. Επί μεθόδων στατιστικής συπερασματολογίας με χρήση της εμπειρικής χαρακτηριστικής συνάρτησης

    Meintanis, Simos, Μεϊντάνης, ΣίμοςUniversity of Patras1990

    … of Statistical Inference which use the empirical characteristic function (ecf). In Chapter I we introduce the characteristic function and the ecf and go through some of their important properties. We then provide an intoduction to the history of the applications of the ecf in Statistical Inference …

    greece Repository record

  10. Efficient implementation of the Heston-Hull & White model

    Maze, SheldonDivision of Actuarial Science2014

    … dissertation explores the approximations for the characteristic function of the Heston-Hull&White model introduced by Grzelak and Oost- erlee (2011). Fourier-Cosine expansion pricing, due to Fang and Oosterlee (2008), is then used to price contingent claims under this model, which is implemented …

    cape-town Repository record

  11. Gleason solutions and canonical models for row contractions

    Ramanantoanina, AndriamanankasinaDepartment of Mathematics and Applied Mathematics2017

    … the corresponding multiplier bT , that is, the characteristic function of T, is shown to be unitary invariant. We further characterise a natural sub-class of row contractions for which it is a complete unitary invariant.

    cape-town Repository record

  12. Break-Even Volatility

    Mitoulis, NicolasAfrican Institute of Financial Markets and Risk Management2019

    … hedging process. Resultantly, the need to employ characteristic function pricing methods arises to calculate the Heston model sensitivities. The break-even volatility solution is then found by means of an optimisation of the continuously delta hedged P&L over the Heston model parameters.

    cape-town Repository record

  13. Inverting multivariate analytic characteristic functions with financial applications

    Hu, RunqiUniversity of Illinois at Urbana-Champaign2019

    … dissertation is devoted to multivariate analytic characteristic functions inversion and applications in option pricing, option sensitivities estimation, and some electronic engineering problems. We will show that under certain analytic conditions for characteristic functions, the underlying pdfs …

    uiuc Repository record

  14. The Zero-Truncated Poisson-Weighted Exponential Distribution with Applications

    Qin, JinFaculty of Graduate Studies and Research, University of Regina2021

    … (the theoretical part), the probability mass function is derived from two methods. Then theoretical properties of the zero-truncated Poisson weighted exponential distribution are discussed: such as probability generating function, moment generating function, characteristic function, and …

    regina Repository record

  15. Spectral functions for generalized piston configurations.

    Morales-Almazán, Pedro Fernando.Baylor University.2012

    … non-smooth potentials and find the spectral zeta functions for these piston configurations on manifolds I x N, where I is an interval and N is a smooth compact Riemannian d-1 dimensional manifold. Then we consider the case of any smooth potential with a compact support and develop a method to find …

    baylor Repository record

  16. Topics on option valuation and model calibration

    Chen, ZishengUniversity of Illinois at Urbana-Champaign2013

    … numerical scheme for simulating from an analytic characteristic function is developed. Theoretically, error bounds for bias are explicitly given. Practically, different types of options in commonly used L´evy process models could be priced through this method fast and accurately. Also, sensitivity …

    uiuc Repository record

  17. A free boundary problem inspired by a conjecture of De Giorgi

    Kamburov, Nikola (Nikola Angelov)Massachusetts Institute of Technology2012

    … problem that arises from minimizing the energy functional I(u) = f lVul2 + V(U), where V(u) is the characteristic function of the interval (-1, 1). This functional is a close relative of the scalar Ginzburg-Landau functional J(u) = f lVul2 + W(u), where W(u) = (1 - u2 )2/2 is a standard …

    mit Repository record

  18. PROBABILISTIC MODELS FOR DEPENDENT VARIABLES: COMPLEX ANALYTIC AND COMBINATORIAL APPROACHES

    TRAN MANH HUNG2024

    … X and a Gaussian under the condition that the characteristic function of X does not vanish only in a bounded disk. This leads to a quantitative CLT applicable to very general and possibly strongly dependent random systems. In addition, we generalize our CLT to multi-dimensional cases and …

    nus Repository record

  19. Application of Effective Markovian Projection to SABR and Heston Models

    Bagraim, JacquesDepartment of Finance and Tax2023

    … SABR prices match closely while Heston characteristic function prices become unstable at lower skew parameters and far in-the-money and out-the-money values of the strike. Lastly, a potential improvement to this application involving error-correction terms is proposed for further …

    cape-town Repository record

  20. Stress analysis of parabolic arches and their dynamic behavior

    Hou, Shou-nienVirginia Polytechnic Institute1958

    … equations of deflection components. Each special characteristic function is derived for each special set of boundary conditions so as to get an unlimited number of modes of free vibrations. The Fourier series is employed to determine the coefficients of the dynamic equations, and to get a …

    vt Repository record

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