Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery

Itkin, Andrey; Soleymani, Fazlollah

doi:10.1016/j.jocs.2021.101434

Cited by 12 publications

(3 citation statements)

References 24 publications

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“…Theorem 2. Let ϕ(r) is given by (6). Then, the compact formula (25) for approximating the second derivative of a function v(z) (sufficiently smooth) on (7) converges quartically.…”

Section: Finding the Coefficients And The Solution Schemementioning

confidence: 99%

“…Compared to other interpolation methods, RBFs provide more accurate approximations in high-dimensional spaces [2]. RBFs [3] (Chapter 3) have received interest from researchers in both engineering [4,5] and scientific domains [6,7]. They can also be employed for function approximation problems, where the target is to find a function that models the input-output relationship of a given system.…”

Section: Introduction 1goalsmentioning

confidence: 99%

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Efficient Fourth-Order Weights in Kernel-Type Methods without Increasing the Stencil Size with an Application in a Time-Dependent Fractional PDE Problem

Liu,

Shateyi

2024

Mathematics

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An effective strategy to enhance the convergence order of nodal approximations in interpolation or PDE problems is to increase the size of the stencil, albeit at the cost of increased computational burden. In this study, our goal is to improve the convergence orders for approximating the first and second derivatives of sufficiently differentiable functions using the radial basis function-generated Hermite finite-difference (RBF-HFD) scheme. By utilizing only three equally spaced points in 1D, we are able to boost the convergence rate to four. Extensive tests have been conducted to demonstrate the effectiveness of the proposed theoretical weighting coefficients in solving interpolation and PDE problems.

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“…Theorem 2. Let ϕ(r) is given by (6). Then, the compact formula (25) for approximating the second derivative of a function v(z) (sufficiently smooth) on (7) converges quartically.…”

Section: Finding the Coefficients And The Solution Schemementioning

confidence: 99%

Section: Introduction 1goalsmentioning

confidence: 99%

Efficient Fourth-Order Weights in Kernel-Type Methods without Increasing the Stencil Size with an Application in a Time-Dependent Fractional PDE Problem

Liu,

Shateyi

2024

Mathematics

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“…In fact, the difference between two independent identically distributed exponential random variables is controlled by a Laplace distribution, as is a Brownian motion computed at an exponentially distributed random time. This distribution is employable in situations wherein the lower values originate under different external conditions than the higher ones such that they follow a different pattern, see [11,12] for further discussions.…”

Section: Laplace Distributionmentioning

confidence: 99%

Revisiting the Copula-Based Trading Method Using the Laplace Marginal Distribution Function

2022

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Pairs trading under the copula approach is revisited in this paper. It is well known that financial returns arising from indices in markets may not follow the features of normal distribution and may exhibit asymmetry or fatter tails, in particular. Due to this, the Laplace distribution is employed in this work to fit the marginal distribution function, which will then be employed in a copula function. In fact, a multivariate copula function is constructed on two indices (based on the Laplace marginal distribution), enabling us to obtain the associated probabilities required for the process of pairs trade and creating an efficient tool for trading.

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Weight calculation and convergence analysis of polyharmonic spline (PHS) with polynomials for different stencils

Liu,

Barfeie,

Soleymani

2024

Calcolo

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Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery

Cited by 12 publications

References 24 publications

Efficient Fourth-Order Weights in Kernel-Type Methods without Increasing the Stencil Size with an Application in a Time-Dependent Fractional PDE Problem

Efficient Fourth-Order Weights in Kernel-Type Methods without Increasing the Stencil Size with an Application in a Time-Dependent Fractional PDE Problem

Revisiting the Copula-Based Trading Method Using the Laplace Marginal Distribution Function

Weight calculation and convergence analysis of polyharmonic spline (PHS) with polynomials for different stencils

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