Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"affine model"”.
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Robustness of bond portfolio optimisation
… selection by proposing the use of term structure models to estimate the time-varying moments of bond returns. Duffee (2002) introduces a distinction between completely affine and essentially affine term structure models. A completely affine model uses a market price of risk specification that is …
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Pricing swaptions on amortising swaps
… that the interest rate follows a one-factor affine model. The second approach is using a one-dimensional numerical integral technique to approximate the price of European amortising swaption, with an assumption that the interest rate follows an additive two-factor affine model. The efficacy …
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Essays on Term Structures
… relative goodness of fit of two term structure models, the Cox, Ingersoll and Ross (CIR hereafter) 2-factor model and a two factor essentially affine model, EA1(2). The latter model generates correlation between the factors and time-varying risk premia. However these characteristics increase the …
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Advanced Light Field Frame Prediction For Optimized Compression
… approach that uses advanced prediction with affine and translational motion models and optimized view prediction structures. This method allows a significant compression performance gain over the current state of art of hierarchical temporal coding by 13.9%. The proposed method introduces an …
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Digital Video Stabilization with Inertial Fusion
… in the video feed and fitting them to an affine model. The digital motion is fused with a 3 axis rotational motion measured by an inertial measurement unit (IMU) rigidly attached to the camera. The video is stabilized by digitally manipulating the image plane opposite of the unwanted …
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Machine Learning Modeling and Robust Model Predictive Control of a Wind Turbine
… of this research is to develop a comprehensive model-based controller for a wind turbine. To do so, the problem of Robust Model Predictive Control (RMPC) of discrete-time hybrid systems is addressed. A hybrid model of the wind turbine is identified with machine learning techniques and the …
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Video Stabilization and Target Localization Using Feature Tracking with Video from Small UAVs
<p>Unmanned Aerial Vehicles (UAVs) equipped with lightweight, inexpensive cameras have grown in popularity by enabling new uses of UAV technology. However, the video retrieved from small UAVs is often unwatchable due to high frequency jitter. Beginning with an investigation of previous …
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Descomposición de la estructura a términos de las tasas de interés de los bonos soberanos de Estados Unidos y Colombia
… soberanos de EE.UU. y Colombia. Se utiliza un modelo afín de cuatro factores, donde el primero de ellos corresponde a un factor de pronóstico de los retornos y, los demás, a los tres primeros componentes principales de la matriz de varianza-covarianza de las tasas de interés. Para la …