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

Concept

Lattice model (finance)

Publications associées (23)

A coupled distinct lattice spring model for rock failure under dynamic loads

Jian Zhao, Jiannong Fang, Gaofeng Zhao

It is necessary to take into account the micro discretization of natural rock when studying its macroscopic failure behavior. This requirement has resulted in renewed and increased interest in the discrete or framework/lattice numerical modeling techniques ...

Elsevier2012

Dynamic CDO Term Structure Modeling

Damir Filipovic

This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...

Wiley-Blackwell2011

A GARCH Option Pricing Model with Filtered Historical Simulation

Loriano Mancini

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit ...

2008