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  • Backtesting Value-at-Risk A GMM Duration-based Test.zip

    本附件包括:
    • Appel_GMM.m
    • data_GMM_HS.xls
    • Duree.m
    • RunMyCode_GMM.m
    • TDA_Geometric.m
    • TDA_Geometric_IND.m
  • 15.95 KB
  • 2017-11-28
  • backtesting.zip
       因子回测模板

    本附件包括:
    • backtesting.xlsm
  • 262.43 KB
  • 2013-5-4
  • 3.rar

    本附件包括:
    • A Lattice Framework for Option Pricing with Two State Variables.pdf
    • A METHODOLOGY FOR ASSESSING MODEL RISK AND ITS APPLICATION TO THE IMPLIED VOLATILITY FUNCTION MODEL.pdf
    • A Theory of the Term Structure of Interest Rates1985.pdf
    • AccountingforStockOptions.pdf
    • Backtesting Value-at-Risk A Duration-Based Approach.pdf
    • CHARACTERISTICS AND RISKS OF STANDARDIZED OPTIONS.pdf
    • Discount of Illiquid Asset Value under Utility Indifference Pricing.pdf
    • Handen and Jagannathan bounds.pdf
    • Modeling the dynamics of Chinese spot interest rates.pdf
    • Portfolio advice for a multifactor world.pdf
    • sensitivity analysis of VAR.pdf
    • Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics.pdf
    • Term Structure Movements and Pricing Interest Rate Contingent Claims.pdf
    • Tests of an American Option Pricing Model on the Foreign Currency Options Market.pdf
    • Tests of Market Efficiency of the Chicago Board Options Exchange.pdf
  • 7.59 MB
  • 2010-4-23
  • 47439.rar
       JPMORGON 压力测试

    本附件包括:
    • Backtesting14.pdf
  • 383.79 KB
  • 2006-4-7
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