Results overview: Found 3 records in 0.02 seconds.
Research literature, 3 records found
Research literature 3 records found  
1.
155 p, 1.4 MB Wavelet approach in computational finance / Colldeforns Papiol, Gemma, autor. ; Ortiz Gracia, Luis, supervisor acadèmic. ; Oosterlee, C. W. (Cornelis W.) supervisor acadèmic. ; Corral Cano, Alvaro, supervisor acadèmic. ; Universitat Autònoma de Barcelona. Departament de Matemàtiques. ; Centre de Recerca Matemàtica.
En el món de les finances computacionals, tant els preus de derivats com la gestió de riscos han atret molt d'interès entre els professionals i l'acadèmia. Aquesta tesi pretén proporcionar tècniques basades en ondetes a fi de millorar algunes de les metodologies utilitzades en aquestes àrees. [...]
In the computational finance world both derivatives pricing and risk management have attracted lots of interest amongst practitioners and academia. This thesis aims to provide wavelets based techniques to enhance some of the methodologies used in the mentioned areas. [...]

[Barcelona] : Universitat Autònoma de Barcelona, 2018.  
2.
23 p, 815.4 KB Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation / Ortiz-Gracia, Luís ; Masdemont Soler, Josep ; Universitat Autònoma de Barcelona. Centre de Recerca Matemàtica
To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. [...]
Centre de Recerca Matemàtica 2011 (Prepublicacions del Centre de Recerca Matemàtica ; 1022)  
3.
16 p, 714.1 KB Haar wavelets-based approach for quantifying credit portfolio losses / Masdemont Soler, Josep ; Ortiz-Gracia, Luís ; Universitat Autònoma de Barcelona. Centre de Recerca Matemàtica
This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. [...]
Centre de Recerca Matemàtica 2011 (Prepublicacions del Centre de Recerca Matemàtica ; 1017)  

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