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An introduction to the calibration of the Schwartz (1997) reduced-form, no-arbitrage two-factor model through the expectation maximization algorithm or prediction error decomposition
This book presents an introduction to the calibration (estimation of parameters) of the Schwartz (1997) reduced-forrn, no-arbirrage two factor model by applying a combination of the Kalman filter and the maximum log-likelihood method knows as the predictive error decomposition. This book is written in such a way that a reader with primary tools in stochastic calculus and optimization (mainly the maximum log-Iikelihood method) can find the necessary tools for doing its reading without problems and understand the essential elements of the methodology. To pursue this purpose, in chapter 1 we will revise the model formally known as the Schwartz (1997) reduced-form, no-arbitrage two-factor model, and we will give some motivation for its calibration. In chapter 2, we will develop an introduction to the state space form and the general Kalman filter algorithm. In section 3, we will join the two previous chapters by applying the Kalman filter to the Schwartz (1997) reduced-form, no-arbitrage two-factor mode! under the approach of Schwartz (1997). Finally, in chapter 4 we show the optimization procedure to obtain the parameters as well as so me features and problems with it.
Türkiye’nin Kamu Borç Yönetiminde Koşullu Yükümlülükler ve Mali Alan Açısından Bir Değerlendirme
Kamu borç yönetiminde genel nitelikli riskler ile mali sürdürülebilirliği tehlikeye atan mali nitelikli çeşitli risk unsurları söz konusudur. Bu mali risklerden gerçekleşmesi belirli olayların ortaya çıkmasına bağlı olan (koşula/şarta bağlı olan) yükümlülükler anlamına gelen koşullu yükümlülükler kamu borç yönetiminde son dönemlerde karşılaşılan en önemli risklerden biri olarak görülmektedir. Açık ve örtük kamu garantilerini ifade eden koşullu yükümlülüklerin özellikle gelişmekte olan ülkelerde artış gösterdiği bilinmektedir. Bu artışların gerisinde yatan faktörler çeşitli olmakla birlikte, devletin ekonomideki rolünün küçü...
Market Timing and Moving Averages
There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.
Understanding the Context of Cognitive Aging
This book provides a bi-national portrait of dementia in the rapidly aging Mexican-origin population in Mexico and the United States. It provides a comprehensive overview of critical conceptual and methodological issues in the study of cognitive aging and related mental and physical conditions. The book examines the sources of vulnerability and their consequences for Mexican-origin and for “aging in place”. By providing a combination of new knowledge, empirical evidence, and fresh approaches of dementia support in later life, this book will contribute to moving the field of Mexican-origin aging and health forward. By focusing on the serious challenges in old-age support for older people with dementia and neurocognitive disorders in two different contexts, this book will deepen academics, researchers, students and young investigators understanding of what is necessary to achieve optional care.
Doing Business in 2004
A co-publication of the World Bank, International Finance Corporation and Oxford University Press
Open Veins of Latin America
[In this book, the author's] analysis of the effects and causes of capitalist underdevelopment in Latin America present [an] account of ... Latin American history. [The author] shows how foreign companies reaped huge profits through their operations in Latin America. He explains the politics of the Latin American bourgeoisies and their subservience to foreign powers, and how they interacted to create increasingly unequal capitalist societies in Latin America.-Back cover.
The Mathematics of Arbitrage
Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book. Puts into book format a series of major results due mostly to the authors of this book. Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background. Awaited in the quantitative finance community.
Annual Report
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