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CORR
2007
Springer
150views Education» more  CORR 2007»
15 years 7 months ago
A Unified Framework for Pricing Credit and Equity Derivatives
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
Erhan Bayraktar, Bo Yang
CORR
2004
Springer
116views Education» more  CORR 2004»
15 years 7 months ago
Static versus Dynamic Arbitrage Bounds on Multivariate Option Prices
We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multivariate genera...
Alexandre d'Aspremont
CORR
2010
Springer
69views Education» more  CORR 2010»
15 years 4 months ago
Extending INET Framework for Directional and Asymmetrical Wireless Communications
This paper reports our work on extending the OMNeT++ INET Framework with a directional radio model, putting a special emphasis on the implementation of asymmetrical communications...
Paula Uribe, Juan Carlos Maureira Bravo, Olivier D...
CORR
2011
Springer
213views Education» more  CORR 2011»
15 years 2 months ago
Adapting to Non-stationarity with Growing Expert Ensembles
Forecasting sequences by expert ensembles generally assumes stationary or near-stationary processes; however, in complex systems and many real-world applications, we are frequentl...
Cosma Rohilla Shalizi, Abigail Z. Jacobs, Aaron Cl...
CVPR
2006
IEEE
16 years 9 months ago
Simultaneous Registration and Modeling of Deformable Shapes
Many natural objects vary the shapes as linear combinations of certain bases. The measurement of such deformable shapes is coupling of rigid similarity transformations between the...
Jing Xiao, Bogdan Georgescu, Xiang Zhou, Dorin Com...