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Kriging of financial term-structures
16 references·2 citing·40 second hop
Kriging of financial term-structures (2016)Kriging of financial term-structuresA spatial analysis of international stock market linkages (2013)A spatial analysis of interna…DiceKriging , DiceOptim : Two R Packages for the Analysis of Computer Experiments by Kriging-Based Metamodeling and Optimization (2012)DiceKriging , DiceOptim : Two…THE RANGE OF TRADED OPTION PRICES (2006)THE RANGE OF TRADED OPTION PR…MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)MODEL UNCERTAINTY AND ITS IMP…Interpolation Methods for Curve Construction (2006)Interpolation Methods for Cur…The Design and Analysis of Computer Experiments (2004)The Design and Analysis of Co…Backtesting for risk-based regulatory capital (2003)Backtesting for risk-based re…Market Risk and Model Risk for a Financial Institution Writing Options (1999)Market Risk and Model Risk fo…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…On the range of options prices (1997)On the range of options pricesStatistics for Spatial Data, Revised Edition. (1994)Statistics for Spatial Data, …Estimating and Interpreting Forward Interest Rates (1994)Estimating and Interpreting F…Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994 (1994)Estimating and Interpreting F…The origins of kriging (1990)The origins of krigingDesign and Analysis of Computer Experiments (1989)Design and Analysis of Comput…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods (2020)Is mortality or interest rate…Fifty Years of Kriging (2018)Fifty Years of KrigingSTATISTICS FOR SPATIAL DATA (1992)Global Sensitivity Analysis. The Primer (2007)BayesOpt: A Bayesian Optimization Library for Nonlinear Optimization, Experimental Design and Bandits (2014)Simulation optimization: a review of algorithms and applications (2015)Adaptive approaches in metamodel-based reliability analysis: A review (2020)The Pricing of Options and Corporate Liabilities (1973)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)STIGLER'S LAW OF EPONYMY* (1980)Covariance Tapering for Interpolation of Large Spatial Datasets (2006)Fixed Rank Kriging for Very Large Spatial Data Sets (2008)Recent Advances in Bayesian Optimization (2023)The Information in Long-Maturity Forward Rates (1987)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Interest Rate Pass‐Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates (2004)Zero-Coupon Yield Curves: Technical Documentation (2008)Bond Return Predictability: Economic Value and Links to the Macroeconomy (2017)Risk, Uncertainty and Profit (1921)Testing Structural Equation Models. (1994)Coherent Measures of Risk (1999)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Ambiguous volatility, possibility and utility in continuous time (2013)Model risk of risk models (2016)Theory of Rational Option Pricing (1973)Generalized autoregressive conditional heteroskedasticity (1986)Option strategies: Good deals and margin calls (2009)Illiquidity Premia in the Equity Options Market (2017)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index (2009)Taking the Human Out of the Loop: A Review of Bayesian Optimization (2015)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)SPATIAL AUTOCORRELATION AND AUTOREGRESSIVE MODELS IN ECOLOGY (2002)Spatial analysis a guide for ecologists (2005)New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings (2011)Noise as Information for Illiquidity (2013)
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References

  • 1989Design and Analysis of Computer Experiments6,958 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1994Statistics for Spatial Data, Revised Edition.1,875 cited
  • 1990The origins of kriging1,763 cited
  • 2012DiceKriging , DiceOptim : Two R Packages for the Analysis of Computer Experiments by Kriging-Based Metamodeling and Optimization594 cited
  • 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994426 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS338 cited
  • 1994Estimating and Interpreting Forward Interest Rates232 cited
  • 1999Market Risk and Model Risk for a Financial Institution Writing Options225 cited
  • 2006THE RANGE OF TRADED OPTION PRICES205 cited
  • 2006Interpolation Methods for Curve Construction193 cited
  • 2013A spatial analysis of international stock market linkages169 cited
  • 1997On the range of options prices149 cited
  • 2003Backtesting for risk-based regulatory capital137 cited
  • 2004The Design and Analysis of Computer Experiments

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  • 2018Fifty Years of Kriging94 cited
  • 2020Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods23 cited