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Concept

Option sur taux

Publications associées (23)

Interest modeling in games: the case of dead reckoning

Kévin Clément Huguenin

In games, the goals and interests of players are key factors in their behavior. However, techniques used by networked games to cope with infrequent updates and message loss, such as dead reckoning, estimate a player's movements based mainly on previous obs ...

Springer2013

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