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alexv library [112 articles]

Статьи, недавно добавленные в библиотеку alexv .
  • Statistical Methods in Markov Chains
    The Annals of Mathematical Statistics, Vol. 32, No. 1. (1961), pp. 12-40.
    by Patrick Billingsley
    posted to statistics markov-chains by alexv on 2008-06-04 05:10:41 as ** along with 2 people cherrie ulmer
  • Test Statistics for Simple MARKOV Chains. A Monte Carlo Study
    Biometrical Journal, Vol. 20, No. 1. (1978), pp. 41-49.
    by Fritz K Bedall
    posted to statistics monte-carlo markov-chains by alexv on 2008-06-04 04:42:12 as **
  • Markov Chains and Stochastic Stability
    (1993)
    by SP Meyn, RL Tweedie
    posted to statistics markov-chains by alexv on 2008-06-01 17:43:48 as **
  • Bootstrap Methods: Another Look at the Jackknife
    The Annals of Statistics, Vol. 7, No. 1. (1979), pp. 1-26.
    by B Efron
    posted to statistics by alexv on 2008-05-23 15:12:16 as ** along with 1 person pcarbo
  • Statistical Inference about Markov Chains
    The Annals of Mathematical Statistics, Vol. 28, No. 1. (1957), pp. 89-110.
    by TW Anderson, Leo A Goodman
    posted to statistics markov-chains by alexv on 2008-05-21 16:08:01 as **
  • Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities
    The Journal of Business, Vol. 65, No. 2. (1992), pp. 221-239.
    by Eduardo S Schwartz, Walter N Torous
    posted to finmath mbs mi by alexv on 2008-04-07 22:32:32 as ** along with 1 person vrvikas
  • Pricing mortgages: An interpretation of the models and results
    Journal of Financial Services Research, Vol. 1, No. 1. (1987), pp. 19-55.
    by Patric H Hendershott, Robert Order
    posted to finmath mbs by alexv on 2008-04-07 22:25:12 as **
  • Modeling Mortgage Insurance as a Multistate Process
    Variance, Vol. 1, No. 1.
    by Peter Mulquiney, Greg C Taylor
    posted to finmath mbs mi by alexv on 2008-04-03 01:12:34 as ***
  • An Option-Based Pricing Model of Private Mortgage Insurance
    The Journal of Risk and Insurance, Vol. 60, No. 2. (1993), pp. 288-299.
    by James B Kau, Donald C Keenan, Walter
    posted to finmath mbs mi by alexv on 2008-04-03 00:38:26 as ***
  • Fractional Brownian Motions, Fractional Noises and Applications
    SIAM Review, Vol. 10, No. 4., pp. 422-437.
    by Benoit B Mandelbrot, John W Van Ness
    posted to no-tag by alexv on 2008-04-01 23:04:31 as **
  • The Homogeneous Chaos
    American Journal of Mathematics, Vol. 60, No. 4. (1938), pp. 897-936.
    by Norbert Wiener
    posted to statistics time-series by alexv on 2008-04-01 22:58:17 as **
  • Stochastic Calculus for Fractional Brownian Motion I. Theory
    SIAM Journal on Control and Optimization, Vol. 38, No. 2., pp. 582-612.
    by Tyrone E Duncan, Yaozhong Hu, Bozenna Pasik-Duncan
    posted to statistics time-series by alexv on 2008-04-01 22:49:26 as **
  • An Introduction To Malliavin Calculus With Applications To Economics
    by Bernt Øksendal
    posted to finmath statistics by alexv on 2008-02-12 16:58:23 as ** along with 1 person abelikoff
  • Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula (fourth version)
    Social Science Research Network Working Paper Series (January 2008)
    by Espen G Haug, Nassim N Taleb
    posted to finmath risk by alexv on 2008-02-04 21:25:14 as *** along with 2 people skheller pdlug
  • Markov Chain Monte Carlo Method and Its Application
    The Statistician, Vol. 47, No. Part 1. (1998), pp. 69-100.
    by Stephen P Brooks
    posted to monte-carlo statistics by alexv on 2008-01-07 20:10:55 as ** along with 5 people delip microserf markusd icosma Xavier
  • Data-Snooping Biases in Tests of Financial Asset Pricing Models
    by Andrew W Lo, Craig A Mackinlay
    posted to finmath statistics by alexv on 2007-12-12 17:19:01 as ** along with 1 person abelikoff
  • Analysis of time series subject to changes in regime
    Journal of Econometrics, Vol. 45, No. 1-2. ( 1990), pp. 39-70.
    by James D Hamilton
    posted to statistics time-series by alexv on 2007-12-12 17:15:19 as ** along with 1 person abelikoff
  • A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
    Econometrica, Vol. 57, No. 2. (1989), pp. 357-384.
    by James D Hamilton
    posted to statistics time-series by alexv on 2007-12-12 17:03:15 as ** along with 2 people abrentnall abelikoff
  • A Fisher-Weil Theorem for Non-Parallel Interest Shifts
    Vol. 6 (1999), pp. 91-100.
    by R Fry, J Biech, J Mosevich, Nelken
    posted to finmath risk yield-curve by alexv on 2007-11-14 18:26:00 as read
  • Coping with the Risk of Interest-Rate Fluctuations: A Note
    The Journal of Business, Vol. 50, No. 3. (1977), pp. 364-370.
    by GO Bierwag, George G Kaufman
    posted to finmath risk yield-curve by alexv on 2007-11-14 18:06:34 as **
  • Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies
    The Journal of Business, Vol. 44, No. 4. (1971), pp. 408-431.
    by Lawrence Fisher, Roman L Weil
    posted to finmath risk yield-curve by alexv on 2007-11-14 17:41:55 as **
  • Duration and the Measurement of Basis Risk
    The Journal of Business, Vol. 52, No. 1. (1979), pp. 51-61.
    by John C Cox, Jonathan E Ingersoll, Stephen A Ross
    posted to finmath risk yield-curve by alexv on 2007-11-14 17:37:55 as **
  • Recursive Bayesian Inference on Stochastic Differential Equations
    by Simo Särkkä
    posted to kalman-filter statistics time-series by alexv on 2007-11-05 21:01:10 as ** along with 1 person os252
  • Convex Optimization
    (08 March 2004)
    by Stephen Boyd, Lieven Vandenberghe
    posted to optimization by alexv on 2007-11-05 20:39:26 as ** along with 21 people and 2 groups chinkeong samedina daniel51 gixgax ansobol yaroslavvb gyuli dariusb joeionnojitsu pjliu BarrosH mh olethros sdvillal NeilInCanadia ngoncalves atbrew paulinus teesid jung_dalglish BrianTomasik Autonomous_Vehicles Networked_Control_Systems
  • Generatingfunctionology
    (1994)
    by Herbert S Wilf
    posted to discrete-math by alexv on 2007-11-05 20:36:02 as ** along with 1 person NeilInCanadia
  • On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
    IEEE Transactions on Automatic Control (October 2007)
    by Simo Särkkä
    posted to kalman-filter statistics time-series by alexv on 2007-11-05 19:08:22 as read
  • How to write mathematics
    L'Enseignement Mathématique, Vol. 16 (1970), pp. 123-152.
    by Paul Halmos
    posted to writing by alexv on 2007-11-02 17:33:43 as ***
  • Time Series Modelling and Interpretation
    by CWJ Granger, MJ Morris
    posted to statistics time-series by alexv on 2007-10-30 01:42:29 as **
  • Differential Evolution - A simple and efficient adaptive scheme for global optimization over continuous spaces
    by Rainer Storn, Kenneth Price
    posted to optimization by alexv on 2007-10-17 03:19:40 as **
  • Time Series Analysis
    (11 January 1994)
    by James D Hamilton
    posted to kalman-filter statistics time-series by alexv on 2007-10-16 20:29:48 as *** along with 4 people toomash fredrikhw dangchil maricarmen
  • A New Approach to Linear Filtering and Prediction Problems
    Transactions of the ASME – Journal of Basic Engineering, No. 82 (Series D). (1960), pp. 35-45.
    by RE Kalman
    posted to kalman-filter statistics time-series by alexv on 2007-10-16 18:40:17 as *** along with 1 person sourada
  • Stochastic Differential Equations: An Introduction with Applications (Universitext)
    (22 December 2005)
    by Bernt Øksendal
    posted to probability statistics by alexv on 2007-09-27 18:06:09 as *** along with 4 people ansobol Borelli nmdang felixmiguelc
  • Filtering in Finance
    Wilmott Magazine, Vol. 2003, No. 3. (2003), pp. 67-83.
    by Alireza Javaheri, Delphine Lautier, Alain Galli
    posted to finmath kalman-filter time-series by alexv on 2007-09-25 22:26:40 as ***
  • A REVIEW OF TERM-STRUCTURE MODELS AND THEIR APPLICATIONS: FORMS PART OF: REPORT OF THE FIXED-INTEREST WORKING GROUP, B.A.J. 4, II PG.213-383
    British Actuarial Journal, Vol. 4, No. 2. (1998), pp. 323-349.
    by Chaplin,
    posted to finmath interest-rate-model by alexv on 2007-09-25 18:27:06 as ** along with 1 person lbo
  • Numerical Procedures for Implementing Term Structure Models II: Two-Factor Models
    Journal of Derivatives, Vol. 2, No. 2. (Winter 1994), pp. 37-48.
    by J Hull, A White
    posted to finmath interest-rate-model by alexv on 2007-09-18 21:00:42 as ** along with 3 people joeionnojitsu danfcook abelikoff
  • Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models
    Journal of Derivatives (Fall 1994), pp. 7-16.
    by John C Hull, Alan White
    posted to finmath interest-rate-model by alexv on 2007-09-18 20:46:17 as ** along with 1 person danfcook
  • Classical and Quantum Probability
    (27 Feb 2000)
    by RF Streater
    posted to probability quantum by alexv on 2007-09-18 19:34:46 as ** along with 4 people ansobol jrw proportional BrendaChng
  • An equilibrium characterization of the term structure
    Journal of Financial Economics, Vol. 5, No. 2. (November 1977), pp. 177-188.
    by Oldrich Vasicek
    posted to finmath interest-rate-model yield-curve by alexv on 2007-09-17 19:40:36 as ** along with 1 person danfcook
  • Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
    (15 September 2006)
    by Damiano Brigo, Fabio Mercurio
    posted to finmath interest-rate-model by alexv on 2007-09-14 19:04:54 as ** along with 2 people danfcook trivial81
  • Affine processes and applications in finance
    The Annals of Applied Probability, Vol. 13, No. 3. (2003), pp. 984-1053.
    by D Duffie, D Filipović, W Schachermayer
    posted to finmath interest-rate-model probability by alexv on 2007-09-14 17:48:10 as ** along with 1 person abelikoff
  • Predictability of Interest Rates and Interest-Rate Portfolios by Turan Bali, Massoud Heidari, Liuren Wu
    SSRN eLibrary (2006)
    by Turan Bali, Massoud Heidari, Liuren Wu
    posted to finmath interest-rate-model kalman-filter time-series yield-curve by alexv on 2007-09-12 21:58:50 as read along with 1 person abelikoff
  • An Overview of Stochastic Filtering Theory
    Advances in Applied Probability, Vol. 17, No. 2. (1985), pp. 249-251.
    by Ioannis Karatzas
    posted to probability statistics time-series by alexv on 2007-08-30 17:14:49 as read
  • A Geometric View of Interest Rate Theory
    by Tomas Bjork
    posted to finmath interest-rate-model by alexv on 2007-08-08 16:25:36 as ** along with 1 person abelikoff
  • Nonlinear estimation and modeling of noisy time-series by dual Kalman filtering methods
    by Alex Nelson
    posted to kalman-filter statistics time-series by alexv on 2007-08-01 17:50:23 as ** along with 1 person abelikoff
  • notes The Unscented Kalman Filter
    (2001)
    by E Wan, R van der Merwe
    edited by S Haykin
    posted to kalman-filter statistics time-series by alexv on 2007-08-01 17:47:55 as read along with 1 person abelikoff
  • Sigma-Point Kalman Filters for Probabilistic Inference in Dynamic State-Space Models
    (2003)
    by R van der Merwe
    posted to kalman-filter time-series by alexv on 2007-08-01 17:32:31 as ** along with 1 person abelikoff
  • The Scaled Unscented Transformation
    American Control Conference
    by Simon Julier
    posted to kalman-filter statistics time-series by alexv on 2007-07-26 17:40:44 as *** along with 1 person abelikoff
  • The Unscented Kalman Filter for Nonlinear Estimation
    (2000)
    by E Wan, R van der Merwe
    posted to kalman-filter statistics time-series by alexv on 2007-07-12 18:34:15 as read
  • Kalman Filtering and Neural Networks
    (2001)
    by Eric Wan, Rudolph van der Merwe
    edited by S Haykin
    posted to kalman-filter statistics time-series by alexv on 2007-07-12 18:15:34 as read along with 1 person abelikoff
  • notes Dual EKF Methods
    by Eric A Wan, Alex T Nelson
    posted to kalman-filter statistics time-series by alexv on 2007-07-12 18:14:48 as read
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