Mediaspace scheduled maintenance: Aug 25, 2026 07:00 - 12:00 AM. During this time, videos will be temporarily unavailable. Check status updates.

Recherche

Afficher tous les résultats pour

Accueil

Concept

Short-rate model

Sciences sociales
Économie (discipline)
Microéconomie
Financial economics

À propos
Confidentialité
Mentions légales

Graph Chatbot

Publications associées (25)

Page 2 sur 2

Variance Risk Premia in Energy Commodities

Anders Trolle

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...

2010

A Note On The Dai-Singleton Canonical Representation Of Affine Term Structure Models

Damir Filipovic

Dai and Singleton (2000) study a class of term structure models for interest rates that specify the short rate as an affine combination of the components of an N-dimensional affine diffusion process. Observable quantities in such models are invariant under ...

Wiley-Blackwell2010

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Anders Trolle

Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analyti ...

Oxford University Press2009

Option Pricing with Model-Guided Nonparametric Methods

Loriano Mancini

Parametric option pricing models are largely used in Finance. These models capture several features of asset price dynamics. However, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that ...

American Statistical Association2009

From spiking neurons to rate models: a cascade model as an approximation to spiking neuron models with refractoriness

Wulfram Gerstner

A neuron that is stimulated repeatedly by the same time-dependent stimulus exhibits slightly different spike timing at each trial. We compared the exact solution of the time-dependent firing rate for a stochastically spiking neuron model with refractorines ...

2006