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Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Second Order Multiscale Stochastic Volatility Asymptotics Stochastic Terminal Layer Analysis Calibration
2012/9/14
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
time-series dynamic minimum-variance variance reduction
2011/3/30
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropria...