Listar por tema "Finance"
Mostrando ítems 1-12 de 12
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Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
Universitat Jaume I. Economics Departament (2016)The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the U.S.A. and in the EURO area. ... -
Economic and Financial Analysis of Zinkia Entertainment S.A.
Universitat Jaume I (2015)One of the critical aspects for the good progress of companies with growth potential and which are in their expansion phase is the ability to find funding sources. These companies usually have interesting products, with ... -
Exploring the behaviour of base classifiers in credit scoring ensembles
Elsevier (2012)Many techniques have been proposed for credit risk assessment, from statistical models to artificial intelligence methods. During the last few years, different approaches to classifier ensembles have successfully been ... -
From bond yield to macroeconomic instability: A parsimonious affine model
Elsevier (2017-11-01)We present a hybrid Heston model with a common stochastic volatility to describe government bond yield dynamics. The model is analytically tractable and, therefore, can be efficiently estimated using the maximum likelihood ... -
Improving Risk Predictions by Preprocessing Imbalanced Credit Data
Springer Berlin Heidelberg (2012)Imbalanced credit data sets refer to databases in which the class of defaulters is heavily under-represented in comparison to the class of non-defaulters. This is a very common situation in real-life credit scoring ... -
On the use of data filtering techniques for credit risk prediction with instance-based models
Elsevier (2012)Many techniques have been proposed for credit risk prediction, from statistical models to artificial intelligence methods. However, very few research efforts have been devoted to deal with the presence of noise and outliers ... -
El Papel de las agencias de rating en la desestabilización de los mercados financieros en el laboratorio
Generalitat Valenciana. Comité economic i social de la Comunitat Valenciana (2011)Tras la reciente etapa de agitación en los mercados financieros, tanto los académicos como las instituciones reguladoras han iniciado un debate sobre el papel de las agencias de rating en la inestabilidad financiera. Parece ... -
Ranking-based MCDM models in financial management applications: analysis and emerging challenges
Springer (2020)Over the last decades, the academic and professional communities have paid much attention toward the use of multi-criteria decision-making methods in a range of business and financial problems due to the variety and ... -
Sudden changes in variance and time varying hedge ratios
Elsevier (2011-12)This paper analyzes the influence of sudden changes in the unconditional volatility on the estimation and forecast of volatility and its impact on futures hedging strategies. We employ several multivariate GARCH models to ... -
TAX HAVENS: Yesterday, today and tomorrow
Universitat Jaume I (2017)Tax havens have existed since tax existed, for this they have always gone hand in hand. Evading tax has, since the times of greeks and romans, been a worry and will for individuals; recently companies have also fallen ... -
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
(2020-12-05)In this paper, we propose two new representation formulas for the conditional marginal probability den- sity of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ... -
La traducción del dinero: guía de especialización en traducción financiera
Universitat Jaume I (2020-07-23)El presente Trabajo de Fin de Grado versa sobre la profesionalización en traducción financiera (TF). El mundo de las finanzas está cada vez más presente en nuestro día a día y es un elemento fundamental de la economía ...