نتایج جستجو برای: arbitrage pricing theory and canonical correlation analysis
تعداد نتایج: 17393229 فیلتر نتایج به سال:
We analyze hedge fund performance using the stochastic discount factor (SDF) approach and imposing the arbitrage-free requirement to correctly value the derivatives and dynamic trading strategies used by hedge funds. Using SDFs of many asset-pricing models, we evaluate hedge fund portfolios based on style and characteristics. Without the arbitrage-free requirement, pricing errors are relatively...
to explore the idea the investingation proposed, aimed at finding whether the performances of the population of iranians students studying english in an efl context are consistent in l1 and l2 writing taks and whether there is a cross-linguistic transfer in this respect. in this regard the subjects were instructed to write four compositions-two in english and two in farsi-which consisted of an ...
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known flaws in the current standard pricing method of base correlation mapping. This method assigns a distinct market factor to each liquid credit index and models the correlation between these market fac...
the purpose of this study was the relationship between problem – solvi ability with fdi cognitive style of students.the research method was correlation method. for data analysis pearson test was used. statistical society in this research was all the students of alligoodarz city in 1391-92 year.to sampling of statiscal population was used sampling multi-stage random the size of sample selected 2...
until now many studies have been done over recent decades throughout the world to show the right age to start english. in iran, research is still at an early stage in terms of evaluating teachers’ beliefs about teaching children english. the problem of at what age to start teaching english and how to teach english to elementary school children has not been solved neither in this country nor els...
The drawbacks of base correlations are well-known to quantitative credit practitioners. The loss surface produced by any of its common implementations is arbitrageable either in the loss dimension, or the time dimension, or both. Yet the approach has been quite popular in the industry, especially with correlation traders, not least for its ability to fit the standard tranche market by definitio...
We investigate the links between various no-arbitrage conditions and existence of pricing functionals in general markets, prove Fundamental Theorem Asset Pricing therein. No-arbitrage conditions, either this abstract setting or case a market consisting European Call options, give rise to duality properties infinite-dimensional sub- super-hedging problems. With view towards applications, we show...
land use effects on heavy metal pollution of river sediments in guilan, southwest of the caspian sea
studies have showed the river siahroud is the main contributor to the present pollution of anzali wetland in guilan. therefore, this study was initiated to evaluate the spatial distribution of metals pollution on the river siahroud sediments in guilan.surfacial river sediment samples along this river were taken during five consecutive seasons at eight sampling stations and analyzed for availabi...
We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark. This result is robust to alternative ec...
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