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FS
2010
105views more  FS 2010»
15 years 5 months ago
Local time and the pricing of time-dependent barrier options
Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...
Aleksandar Mijatovic
FS
2010
95views more  FS 2010»
15 years 5 months ago
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
This paper considers a general reduced form pricing model for credit derivatives where default intensities are driven by some factor process X. The process X is not directly observ...
Rüdiger Frey, Wolfgang Runggaldier
IAJIT
2010
87views more  IAJIT 2010»
15 years 5 months ago
A performance comparison of MD5 authenticated routing traffic with EIGRP, RIPv2, and OSPF
: Routing is the process of forwarding data across an inter-network from a designated source to a final destination. Along the way from source to destination, at least one intermed...
Khalid Abu Al-Saud, Hatim Mohd Tahir, Moutaz Saleh...
IJAR
2010
75views more  IJAR 2010»
15 years 5 months ago
Generalized loopy 2U: A new algorithm for approximate inference in credal networks
Credal nets generalize Bayesian nets by relaxing the requirement of precision of probabilities. Credal nets are considerably more expressive than Bayesian nets, but this makes bel...
Alessandro Antonucci, Yi Sun, Cassio P. de Campos,...
IJAR
2010
113views more  IJAR 2010»
15 years 5 months ago
A geometric view on learning Bayesian network structures
We recall the basic idea of an algebraic approach to learning Bayesian network (BN) structures, namely to represent every BN structure by a certain (uniquely determined) vector, c...
Milan Studený, Jirí Vomlel, Raymond ...