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Regime Switching Volatility Calibration by the Baum-Welch Method
Regime switching stochastic volatility calibration Hamilton filter Baum-Welch
2010/10/29
Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose u...
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Credit Derivatives Structural Models Black Cox Model Credit Default Swaps
2010/11/3
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to cal-ibrate the model using a chosen number of Cred...