Dynamic Refinement Of The Term Structure Time Homogenous Term Structure Modeling
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Author |
: Christian P. Fries |
Publisher |
: |
Total Pages |
: 28 |
Release |
: 2017 |
ISBN-10 |
: OCLC:1305404681 |
ISBN-13 |
: |
Rating |
: 4/5 (81 Downloads) |
Synopsis Dynamic Refinement of the Term Structure - Time Homogenous Term Structure Modeling by : Christian P. Fries
In this note we consider a classical term structure model framework, that is, a HJM framework on a time-discrete tenor, like the LIBOR market model, using a sequence of tenor discretization, where the tenors are valid for a specific simulation time interval.The setup then allows to model dynamic refinements of the tenor structure and, as a special case, a quasi time-homogenous tenor structure.A time-homogenous tenor structure has some relevance in exposure simulations, where two requirements come together: it is desirable to model a finer tenor structure on the short end of the rate curve compared to the long end of the rate curve and, this property should persist in the simulation at a future time.The property is easily fulfilled by models, which uses an equally fine discretization at all times, e.g., a short rate model, where simulation time discretization and tenor time discretization coincide.As we will demonstrate, a refinement of the tenor structure via a simple interpolation of forward rates would either introduce a strong restriction on the model's volatility structure (as it is the case for a classical fixed tenor LIBOR market model) or introduce an arbitrage violation. The challenge in the refinement is to simulate the right stochastic drifts. Under a (milder) condition on the model's volatility structure, the drifts can be reconstructed using a single additional state variable. The additional state variable is only needed on the coarse discretization tenors, limiting the computational resources needed to implement the model.In a limit case, the approach can be used to glue together a short rate model for the short end of the rate curve and a term-structure model for the long end of the rate curve in a time-homogenous way.
Author |
: Sandrine Gümbel |
Publisher |
: |
Total Pages |
: 0 |
Release |
: 2019* |
ISBN-10 |
: OCLC:1176435123 |
ISBN-13 |
: |
Rating |
: 4/5 (23 Downloads) |
Synopsis Dynamic Term Structure Modeling Beyond the Paradigm of Absolute Continuity by : Sandrine Gümbel
Author |
: Rama Cont |
Publisher |
: |
Total Pages |
: 0 |
Release |
: 1998 |
ISBN-10 |
: OCLC:1373611216 |
ISBN-13 |
: |
Rating |
: 4/5 (16 Downloads) |
Synopsis Modeling Term Structure Dynamics an Infinite Dimensional Approach by : Rama Cont
Author |
: Arianto Wibowo |
Publisher |
: |
Total Pages |
: 79 |
Release |
: 2006 |
ISBN-10 |
: 9036524423 |
ISBN-13 |
: 9789036524421 |
Rating |
: 4/5 (23 Downloads) |
Synopsis Continuous-time Identification of Exponential-affine Term Structure Models by : Arianto Wibowo
Author |
: Lev S. Kuchment |
Publisher |
: EOLSS Publications |
Total Pages |
: 332 |
Release |
: 2009-06-18 |
ISBN-10 |
: 9781848261877 |
ISBN-13 |
: 184826187X |
Rating |
: 4/5 (77 Downloads) |
Synopsis Hydrological Systems Modeling - Volume II by : Lev S. Kuchment
Hydrological Systems Modeling is a component of Encyclopedia of Water Sciences, Engineering and Technology Resources in the global Encyclopedia of Life Support Systems (EOLSS), which is an integrated compendium of twenty one Encyclopedias. This 2-volume set contains several chapters, each of size 5000-30000 words, with perspectives, applications and extensive illustrations. It carries state-of-the-art knowledge in the fields of Hydrological Systems Modeling and is aimed, by virtue of the several applications, at the following five major target audiences: University and College Students, Educators, Professional Practitioners, Research Personnel and Policy Analysts, Managers, and Decision Makers and NGOs.
Author |
: fib - federation internationale du beton |
Publisher |
: John Wiley & Sons |
Total Pages |
: 434 |
Release |
: 2013-12-04 |
ISBN-10 |
: 9783433030615 |
ISBN-13 |
: 3433030618 |
Rating |
: 4/5 (15 Downloads) |
Synopsis fib Model Code for Concrete Structures 2010 by : fib - federation internationale du beton
The International Federation for Structural Concrete (fib) is a pre-normative organization. 'Pre-normative' implies pioneering work in codification. This work has now been realized with the fib Model Code 2010. The objectives of the fib Model Code 2010 are to serve as a basis for future codes for concrete structures, and present new developments with regard to concrete structures, structural materials and new ideas in order to achieve optimum behaviour. The fib Model Code 2010 is now the most comprehensive code on concrete structures, including their complete life cycle: conceptual design, dimensioning, construction, conservation and dismantlement. It is expected to become an important document for both national and international code committees, practitioners and researchers. The fib Model Code 2010 was produced during the last ten years through an exceptional effort by Joost Walraven (Convener; Delft University of Technology, The Netherlands), Agnieszka Bigaj-van Vliet (Technical Secretary; TNO Built Environment and Geosciences, The Netherlands) as well as experts out of 44 countries from five continents.
Author |
: George Liska |
Publisher |
: Lexington Books |
Total Pages |
: 372 |
Release |
: 1999 |
ISBN-10 |
: 073910067X |
ISBN-13 |
: 9780739100677 |
Rating |
: 4/5 (7X Downloads) |
Synopsis Resurrecting a Discipline by : George Liska
Resurrecting a Discipline completes a trilogy in which George Liska, renowned scholar of international relations, encapsulates a lifetime of inquiry into past and present world politics. This final book examines the future of politics in general and of the discipline of international relations in particular, seeking a theory that combines the two. The author takes as his starting point former Secretary of State Dean Acheson's call for a 'usable theory' of international politics, integrating selections from his own many books on politics, world history, and international relations with analysis of the present and speculation on the future state of scholarship. Scholars of international relations, world politics, and political history will find this book a valuable addition to their collections.
Author |
: Tarek Echekki |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 496 |
Release |
: 2010-12-25 |
ISBN-10 |
: 9789400704121 |
ISBN-13 |
: 9400704127 |
Rating |
: 4/5 (21 Downloads) |
Synopsis Turbulent Combustion Modeling by : Tarek Echekki
Turbulent combustion sits at the interface of two important nonlinear, multiscale phenomena: chemistry and turbulence. Its study is extremely timely in view of the need to develop new combustion technologies in order to address challenges associated with climate change, energy source uncertainty, and air pollution. Despite the fact that modeling of turbulent combustion is a subject that has been researched for a number of years, its complexity implies that key issues are still eluding, and a theoretical description that is accurate enough to make turbulent combustion models rigorous and quantitative for industrial use is still lacking. In this book, prominent experts review most of the available approaches in modeling turbulent combustion, with particular focus on the exploding increase in computational resources that has allowed the simulation of increasingly detailed phenomena. The relevant algorithms are presented, the theoretical methods are explained, and various application examples are given. The book is intended for a relatively broad audience, including seasoned researchers and graduate students in engineering, applied mathematics and computational science, engine designers and computational fluid dynamics (CFD) practitioners, scientists at funding agencies, and anyone wishing to understand the state-of-the-art and the future directions of this scientifically challenging and practically important field.
Author |
: |
Publisher |
: |
Total Pages |
: 366 |
Release |
: 1997 |
ISBN-10 |
: UOM:39015041532642 |
ISBN-13 |
: |
Rating |
: 4/5 (42 Downloads) |
Synopsis Enabling Technology for Simulation Science by :
Author |
: Carlo Ghezzi |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 506 |
Release |
: 1989 |
ISBN-10 |
: 3540516352 |
ISBN-13 |
: 9783540516354 |
Rating |
: 4/5 (52 Downloads) |
Synopsis ESEC '89 by : Carlo Ghezzi
The book is concerned with the broad topic of software engineering. It comprises the proceedings of the European Software Engineering Conference (ESEC) held at the University of Warwick in the United Kingdom in September 1989 and its primary purpose is to summarise the state of the art in software engineering as represented by the papers at that conference. The material covers both submitted papers and a number of invited papers given at the conference. The topics covered include: metrics and measurement, software process modelling, formal methods including their use in industry, software configuration management, software development environments, and requirements engineering. The book is most likely to be of interest to researchers and professionals working in the field of software development. The primary value of the book is that it gives an up-to-date treatment of its subject material and includes some interesting discussions of the transfer of research ideas into industrial practice.