At the heart of optimal hedging with additive models is to replicate the payoff of European basket options using separate options as close as possible. In this paper, we extend those technique for the case of path-dependent barrier options, where the mean square error of the payoffs between the basket barrier option and the sum of options on the individual assets is minimized over any smooth pa...

Machine Translation Evaluation (MTE) has been widely recognized by the Machine Translation (MT) community. The main objective of MT is to break the language barrier in a multilingual nation like India. Evaluation of MT is required for Indian languages because the same MT is not works in Indian language as in European languages due to the language structure. So, there is a great need to develop ...

Credit risk management is a process in which banks estimate probability of default (PD) for each loan applicant. Data sets of previous loan applicants are built by gathering their data, and these internal data sets are usually completed using external credit bureau’s data and finally used for estimating PD in banks. There is also a continuous interest for bank to use rule based classifiers to b...

Abstract. The inverse first passage time problem asks whether, for a Brownian motion B and a nonnegative random variable ζ, there exists a timevarying barrier b such that P{Bs > b(s), 0 ≤ s ≤ t} = P{ζ > t}. We study a “smoothed” version of this problem and ask whether there is a “barrier” b such that E[exp(−λ ∫ t 0 ψ(Bs − b(s)) ds)] = P{ζ > t}, where λ is a killing rate parameter and ψ : R → [0...

In the barrier option model of corporate security valuation, firm’s creditors impose a default-triggering on firm value to protect their claim. Two disputed issues in literature are whether implied default is positive, and it above or below book liabilities. We extend Brockman Turtle (2003) by embedding asset payouts valuation shareholders’ equity. Using sample US stocks from NYSE, AMEX, NASDAQ...