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 A Fractional Heath-Jarrow-Morton Approach for Interest Rate Markets. Interest Rate Modelling in Theory with Applications in Practice
Наименование:

A Fractional Heath-Jarrow-Morton Approach for Interest Rate Markets. Interest Rate Modelling in Theory with Applications in Practice

автор Patrick P. издательство Книга по Требованию Информационные технологии в экономике
Cтраниц 104        мягкая обложка       
Аннотация:The fractional approach is much more sophisticated than the classical case which is why Patrick P. Hargutt covers complexities like the no-arbitrage theory in detail. In order to achieve a better fit of the model to historic data this book deals in particular with the more complex fractional approach which incorporates a fractional Brownian motion. This book aims both at quantitative trading desks, portfolio managers and at academic researchers in mathematical finance and their students. Interest-rate modelling is a very complex task that has been intensified over the years. Many different approaches have been tested to capture interest rate movements with varying objectives, for instance the pricing of interest rate derivatives. Therefore this book starts with the necessary mathematical preliminaries. In this book the author Patrick P. Hargutt introduces several interest-rate models whereas he focuses on the very general Heath-Jarrow-Morton model, which models forward rates. In turn the author will provide simulations for bond prices and a comparison to the classical case of the model and to other interest-rate models.
Автор: Patrick P.
Издательство: Книга по Требованию
Год:2010
Цена:
1922 руб
Нет в наличии
Поиск: A Fractional Heath-Jarrow-Morton Approach for Interest Rate Markets. Interest Rate Modelling in Theory with Applications in Practice
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
Ортомолекулярная медицина Orthomol Устрание причин заболеваний. Ортомоль это новый метод для лечения и профилактики болезней. Orthomol - ортомолекулярная медицина.
Evaluating the GPRS Radio Interface for Different Quality of Service...

I co ras o he models developed i , our approach addi io ally represe s he mobili y of users hrough arrival ra es of ew GSM a d GPRS users as well as ha dover ra es of GSM a d GPRS users from eighbori g cells. Fur hermore, we co sider users wi h differe QoS profiles modeled by a weigh ed fair queuei g scheme accordi g o . he remai der of he paper is orga ized as follows. Sec io 2 describes he basic GPRS e work archi ec ure, he radio i erface, a d differe QoS profiles, which will be co sidered i he simula or. I Sec io 3 we describe he sof ware archi ec ure of he GPRS simula or, de ails abou he mobili y of GSM a d GPRS users, he way we modeled quali y of service profiles, a d he workload model we used. Resul s of he simula io s udies are prese ed i Sec io 4. We provide curves for average carried raffic a d packe loss probabili ies for differe cha el alloca io schemes a d packe priori ies as well as curves for average hroughpu per GPRS user.3 he Simula io Model We co sider a clus er comprisi g of sever hexadiago al cells i a i egra ed GSM/GPRS e work, servi g circui -swi ched voice a d packe -swi ched da a calls. he performa ce s udies prese ed i Sec io 4 were co duc ed for he i ermos cell of he seve cell clus er.
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