摘要翻译:
潜在的方法是一种通用和简单的方法,用于模拟利率、外汇汇率,以及原则上其他类型的金融资产。本文以一个小的有限状态马尔可夫链作为基马尔可夫过程,对几种流动性利率衍生工具的数据进行了拟合。
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英文标题:
《The potential approach in practice》
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作者:
Tino Kluge and L. C. G. Rogers
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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英文摘要:
The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data on some liquid interest rate derivatives, and fits potential models using a small finite-state Markov chain as the base Markov process.
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PDF链接:
https://arxiv.org/pdf/1204.5718