Nonparametric Model Calibration for Derivatives

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Nonparametric Calibration for Depth Sensors

In this paper we propose a quick and easy approach to estimate the undistortion function of RGBD sensors. Our method does not rely on the knowledge of the sensor model, on the use of a specific calibration pattern or on external SLAM systems to track the device position. We compute a nonparametric approximation of the undistortion function by applying regression methods to calibration data that...

متن کامل

Nonparametric Regression Estimation under Kernel Polynomial Model for Unstructured Data

The nonparametric estimation(NE) of kernel polynomial regression (KPR) model is a powerful tool to visually depict the effect of covariates on response variable, when there exist unstructured and heterogeneous data. In this paper we introduce KPR model that is the mixture of nonparametric regression models with bootstrap algorithm, which is considered in a heterogeneous and unstructured framewo...

متن کامل

Calibration of numerical model output using nonparametric spatial density functions

The evaluation of physically based computer models for air quality applications is crucial to assist in control strategy selection. Selecting the wrong control strategy has costly economic and social consequences. The objective comparison of mean and variances of modeled air pollution concentrations with the ones obtained from observed field data is the common approach for assessment of model p...

متن کامل

Libor Rate Models, Related Derivatives and Model Calibration

Based on Jamshidians framework, [8], a general strategy for the quasi-analytical valuation of large classes of LIBOR derivatives will be developed. As a special case we will address the quasi-analytical approximation formula for swaptions of Brace Gatarek and Musiela in [2] and show that a similar formula can be derived with Jamshidian's methods as well. As further applications we will study th...

متن کامل

Nonparametric Functional Calibration of Computer Models

Standard methods in computer model calibration treat the calibration parameters as constant throughout the domain of control inputs. In many applications, systematic variation may cause the best values for the calibration parameters to change across different settings. When not accounted for in the code, this variation can make the computer model inadequate. We propose a framework for modeling ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Mathematical Finance

سال: 2017

ISSN: 2162-2434,2162-2442

DOI: 10.4236/jmf.2017.73030