Bayesian inverse modeling for quantitative precipitation estimation (QPE)
|
|
- Melissa Henry
- 5 years ago
- Views:
Transcription
1 University Meteorological Institute Bonn Bayesian inverse modeling for quantitative precipitation estimation (QPE) Katharina Schinagl, 1 Christian Rieger, 2 Clemens Simmer, 1 Xinxin Xie, 1 Alexander Rüttgers, 2 Petra Friederichs 1 1 Meteorological Institute, University of Bonn, Bonn, Germany 2 Institute for Numerical Simulation, University of Bonn, Bonn, Germany July 4th, 2016, BCAM-IMUVA Summer School on Uncertainty Quantification for Applied Problems Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 1 / 19
2 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 2 / 19
3 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 2 / 19
4 Radar quantitative precipitation estimation (QPE) Picture from www. general-anzeiger-bonn. de (Thomas Franz) Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 3 / 19
5 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 3 / 19
6 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 3 / 19
7 Polarimetric radar radio waves are a series of oscillating electromagnetic fields horizontal orientation vertical orientation polarimetric radar (= dual-polarization radar) waves passing through clouds drop size distribution horizontal reflectivity Z H horizontal reflectivity Z V differential reflectivity Z DR specific differential phase K DP Picture from www. roc. noaa. gov/ wsr88d/ dualpol/ cross-correlation coefficient ρ HV Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 4 / 19
8 Radar error sources Picture from http: // www. eumetcal. org/ euromet/ english/ satmet/ s9320/ s htm partial beam blockage miscalibration attenuation systematic errors are corrected in the data random errors need to be included in the model Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 5 / 19
9 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 5 / 19
10 DSD and precipitation estimates Exponential DSD model [Marshall and Palmer, 1948] For D [D min, D max ], 0 < D min < D max < : N(Λ, N 0, D) = N 0 exp ( ΛD) [1/mm m 3 ] D equivalent volume diameter [mm] Λ slope parameter in [ 1 /mm] N 0 number concentration parameter in [ 1 /mm m 3 ] rain rate, after [Uijlenhoet and Pomeroy, 2001]: R = 6π 10 4 Dmax D min D 3 v(d)n(d)dd [mm/h] Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 6 / 19
11 Typical radar measurements after [Brandes et al., 2004]: horizontal reflectivity Z H = vertical reflectivity Z V = differential reflectivity D droplet diameter in [mm] N(D) drop size distribution 4λ4 Dmax π 4 K w 2 f HH (π, D) 2 N(D)dD [mm 6 /m 3 ] D min 4λ4 Dmax π 4 K w 2 f VV (π, D) 2 N(D)dD [mm 6 /m 3 ] D min Z DR = 10 log Z H Z V [db] f HH (π, D), f VV (π, D) back-scattering amplitudes of a drop at horizontal/vertical polarization f HH (D, 0), f VV (D, 0) forward-scattering amplitudes at horizontal/vertical polarization K w dielectric constant of water λ radar wavelength in [cm] Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 7 / 19
12 Typical radar measurements, ctd. specific differential phase K DP = 180λ π Dmax cross-correlation coefficient D min Re(f HH (0, D) f VV (0, D))N(D)dD [deg/km], Dmax fhh (π, D)f VV (π, D)N(D)dD D ρ HV = min Dmax f HH (π, D) 2 Dmax N(D)dD f VV (π, D) 2 N(D)dD D min D droplet diameter in [mm] N(D) drop size distribution f HH (π, D), f VV (π, D) back-scattering amplitudes of a drop at horizontal/vertical polarization D min f HH (D, 0), f VV (D, 0) forward-scattering amplitudes at horizontal/vertical polarization λ radar wavelength in [cm] Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 8 / 19
13 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 8 / 19
14 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 8 / 19
15 Bayesian estimation of DSD parameters data (Z H, Z V, Z DR, K DP, ρ HV ) unknown parameters (N 0, Λ) forward operators + error models prediction (R... at unobserved locations/time) Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 9 / 19
16 Inverse problem infer values of the parameters that characterize the system from given data measurement error Bayesian framework and MCMC methods for numerical solution Inverse problem X = R n state space u X unknown model parameter(s) Y = R q observation space y Y data η Y observational noise G : X Y forward operator y = G(u) + η y = G(u) e η (additive) (multiplicative) Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 10 / 19
17 Types of uncertainty uncertainty experimental (observational) uncertainty model uncertainty numerical uncertainty Bayes: prior sensitivity What error do we make by choosing a wrong prior? sensitivity to likelihood What error do we make by choosing a wrong likelihood? Inverse problem: parameter identifiability possible underdetermination condition of forward/backward operators Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 11 / 19
18 Bayesian estimation of DSD parameters, ctd. Bayes formula Λ, N 0 R p DSD parameters y R q data evidence P(Λ, N 0 y) P(y Λ, N 0 )P(Λ, N 0 ) multi-data mode, e.g. y = (Z H, Z DR, ρ HV ) with Z H R q, Z DR R q, ρ HV R q conditional independence of data P(Z H, Z DR, ρ HV Λ, N 0 ) = P(Z H Λ, N 0 )P(Z DR Λ, N 0 )P(ρ HV Λ, N 0 ) Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 12 / 19
19 Model setup (data likelihood) modeling of random errors Z H = G ZH (Λ, N 0 ) ɛ Z V = G ZV (Λ, N 0 ) ɛ Z DR = G ZDR (Λ, N 0 ) ɛ K DP = G KDP (Λ, N 0 ) + ɛ 1 [db] 1 [db] 0.1 [db] 1 [deg/km] Z H = G ZH (Λ, N 0, t) = 4λ4 Dmax π 4 K w 2 f HH (π, D) 2 N(D)dD [mm 6 /m 3 ] D min this term and the respective variants for Z V, Z DR, K DP and ρ HV have to be evaluated very often efficient strategy needed lookup-tables simplifications: we assume the data to be only rain, from summer, low in the beam, below the brightband Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 13 / 19
20 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 13 / 19
21 COSMO-DE numerical weather prediction model GME COSMO-DE COSMO-EU Picture from S. Theis, DWD Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 14 / 19
22 Using the COSMO data goal: estimate the DSD parameters Λ and N 0 Λ, N 0 unknown for real world-data (except very occasional measurements) we go into the simulated environment in COSMO validate model against values there 3D polarimetric radar forward operator in COSMO (Xinxin Xie, MIUB) uncertainties in the simulated environment as estimate of uncertainties in the real world Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 15 / 19
23 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 15 / 19
24 Working with the COSMO-data 1 COSMO-DE data for two days: June 6th 2011 and June 22nd 2011 qnr, qr, qc, qi, qs, qg, qh, qv, t, ps 2 compute DSD parameters N 0 and Λ from COSMO-DE output 3 from N 0, Λ and t get polarimetric variables Z H, Z V, K DP, ρ HV radar forward operator, t-matrix method 4 choose suitable subset for computations Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 16 / 19
25 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 16 / 19
26 22nd June, 2011 Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
27 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
28 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
29 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
30 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
31 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
32 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
33 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
34 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
35 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
36 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
37 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
38 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
39 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
40 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
41 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
42 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
43 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
44 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
45 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
46 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
47 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
48 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
49 22nd June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
50 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 17 / 19
51 6th June, 2011 Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
52 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
53 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
54 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
55 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
56 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
57 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
58 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
59 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
60 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
61 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
62 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
63 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
64 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
65 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
66 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
67 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
68 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
69 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
70 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
71 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
72 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
73 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
74 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
75 6th June, 2011, ctd. Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
76 Outline 1 Introduction 2 Polarimetric radar Introduction to polarimetric radar Radar forward formulas 3 Modeling Bayesian inverse problem approach COSMO-DE numerical weather prediction model 4 Data sets 22nd June, th June, Summary and Outlook Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 18 / 19
77 Outlook up to now: experiment with generated test data prototype algorithm evaluation of available data for June 6th and June 22nd next steps: use COSMO-based data as input to MCMC improve efficiency of calls to radar forward operator (lookup-tables) Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 19 / 19
78 University Meteorological Institute Bonn Thank you for your attention! Brandes, E. A., Zhang, G., and Vivekanandan, J. (2004). Comparison of polarimetric radar drop size distribution retrieval algorithms. Journal of Atmospheric and Oceanic Technology, 21(4): Marshall, J. S. and Palmer, W. M. K. (1948). The distribution of raindrops with size. Journal of meteorology, 5(4): Uijlenhoet, R. and Pomeroy, J. (2001). Raindrop size distributions and radar reflectivity? rain rate relationships for radar hydrology. Hydrology and Earth System Sciences Discussions, 5(4): Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 19 / 19
79 scattering amplitudes for the forward formulas we need f HH (0, D) forward-scattering amplitude f VV (0, D) forward-scattering amplitude f HH (D) backward-scattering amplitude f VV (D) backward-scattering amplitude forward scattering is for θ = 0 and backward scattering for θ = 180 these are entries of the scattering matrix, e.g. forward scattering matrix ( S f s f = 11 s22 f ) ( ) fvv (0, D) f s21 f s22 f = VH (0, D) f HV (0, D) f HH (0, D) scattering amplitudes depend on incident wave (angles, frequency...), drop (shape, diameter, refractive index) Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 1 / 3
80 Computation via t-matrix method scattered wave can be written as [ E sca] ν exp (ikr) Eφ sca = S(n sca, n R inc ) [ E inc ν E inc φ ] (1) write inc and sca fields in vector spherical functions E inc (R) = E sca (R) = n=1 n=1 n m= n n m= n [a mn RgM mn (kr) + b mn RgN mn (kr)] (2) [p mn RgM mn (kr) + q mn RgN mn (kr)], R > r 0 (3) Tmatrix gives relation between coefficients of inc and scattered field [ ] [ p T 11 T = 12 ] [ ] a q T 21 T 22 b T matrix depends only on the properties of the scattering particle (shape, size, refractive index, orientation...) and is independent of the directions of scattering compute Tmatrix once, then use it for computation of different scattering matrices S Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 2 / 3 (4)
81 Numerical computation of T-matrix extended boundary condition method (EBCM) vector spherical functions also for internal field E int (R) = m r refractive index also linear relation n n=1 m= n [c mn RgM mn (m r kr) + d mn RgN mn (m r kr)] (5) [ ] a = b [ Q 11 Q 12 Q 21 Q 22 ] [ ] c d elements of Q are two-dimensional integrals over particle surface which are solved numerically (depend on particle properties) T = RgQ [Q] 1 formulas for RgQ and Q in literature T-matrix method is analytically exact, numerical convergence depends on Q computation time depends (mostly?) on particle size and aspect ratio (6) Katharina Schinagl Meteorological Institute of the University of Bonn (MIUB) 3 / 3
An Improvement of Vegetation Height Estimation Using Multi-baseline Polarimetric Interferometric SAR Data
PIERS ONLINE, VOL. 5, NO. 1, 29 6 An Improvement of Vegetation Height Estimation Using Multi-baseline Polarimetric Interferometric SAR Data Y. S. Zhou 1,2,3, W. Hong 1,2, and F. Cao 1,2 1 National Key
More informationTHE IMPACT OF TEMPORAL DECORRELATION OVER FOREST TERRAIN IN POLARIMETRIC SAR INTERFEROMETRY
THE IMPACT OF TEMPORAL DECORRELATION OER FOREST TERRAIN IN POLARIMETRIC SAR INTERFEROMETRY Seung-kuk Lee, Florian Kugler, Irena Hajnsek, Konstantinos P. Papathanassiou Microwave and Radar Institute, German
More informationEstimating Market Power in Differentiated Product Markets
Estimating Market Power in Differentiated Product Markets Metin Cakir Purdue University December 6, 2010 Metin Cakir (Purdue) Market Equilibrium Models December 6, 2010 1 / 28 Outline Outline Estimating
More informationStochastic Volatility (SV) Models
1 Motivations Stochastic Volatility (SV) Models Jun Yu Some stylised facts about financial asset return distributions: 1. Distribution is leptokurtic 2. Volatility clustering 3. Volatility responds to
More informationMulti-armed bandits in dynamic pricing
Multi-armed bandits in dynamic pricing Arnoud den Boer University of Twente, Centrum Wiskunde & Informatica Amsterdam Lancaster, January 11, 2016 Dynamic pricing A firm sells a product, with abundant inventory,
More informationSub-surface glacial structure over Nordaustlandet using multi-frequency Pol-InSAR
ub-surface glacial structure over Nordaustlandet using multi-frequency Pol-InAR Jayanti harma, Irena Hajnsek, Kostas Papathanassiou DLR (German Aerospace Center),.6.8 jayanti.sharma@dlr.de Introduction:
More informationFinancial Risk Management
Financial Risk Management Professor: Thierry Roncalli Evry University Assistant: Enareta Kurtbegu Evry University Tutorial exercices #4 1 Correlation and copulas 1. The bivariate Gaussian copula is given
More information3.4 Copula approach for modeling default dependency. Two aspects of modeling the default times of several obligors
3.4 Copula approach for modeling default dependency Two aspects of modeling the default times of several obligors 1. Default dynamics of a single obligor. 2. Model the dependence structure of defaults
More informationComputer Vision Group Prof. Daniel Cremers. 7. Sequential Data
Group Prof. Daniel Cremers 7. Sequential Data Bayes Filter (Rep.) We can describe the overall process using a Dynamic Bayes Network: This incorporates the following Markov assumptions: (measurement) (state)!2
More informationProject: IEEE P Working Group for Wireless Personal Area Networks (WPANs)
Project: IEEE P802.15 Working Group for Wireless Personal Area Networks (WPANs) Title: Channel Model for Intra-Device Communications Date Submitted: 15 January 2016 Source: Alexander Fricke, Thomas Kürner,
More informationThe Risky Steady State and the Interest Rate Lower Bound
The Risky Steady State and the Interest Rate Lower Bound Timothy Hills Taisuke Nakata Sebastian Schmidt New York University Federal Reserve Board European Central Bank 1 September 2016 1 The views expressed
More informationIdentifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Identifying : A Bayesian Mixed-Frequency Approach Frank Schorfheide University of Pennsylvania CEPR and NBER Dongho Song University of Pennsylvania Amir Yaron University of Pennsylvania NBER February 12,
More informationSAQ KONTROLL AB Box 49306, STOCKHOLM, Sweden Tel: ; Fax:
ProSINTAP - A Probabilistic Program for Safety Evaluation Peter Dillström SAQ / SINTAP / 09 SAQ KONTROLL AB Box 49306, 100 29 STOCKHOLM, Sweden Tel: +46 8 617 40 00; Fax: +46 8 651 70 43 June 1999 Page
More informationEquity correlations implied by index options: estimation and model uncertainty analysis
1/18 : estimation and model analysis, EDHEC Business School (joint work with Rama COT) Modeling and managing financial risks Paris, 10 13 January 2011 2/18 Outline 1 2 of multi-asset models Solution to
More informationPath Loss Models and Link Budget
Path Loss Models and Link Budget A universal path loss model P r dbm = P t dbm + db Gains db Losses Gains: the antenna gains compared to isotropic antennas Transmitter antenna gain Receiver antenna gain
More informationINDIAN INSTITUTE OF SCIENCE STOCHASTIC HYDROLOGY. Lecture -5 Course Instructor : Prof. P. P. MUJUMDAR Department of Civil Engg., IISc.
INDIAN INSTITUTE OF SCIENCE STOCHASTIC HYDROLOGY Lecture -5 Course Instructor : Prof. P. P. MUJUMDAR Department of Civil Engg., IISc. Summary of the previous lecture Moments of a distribubon Measures of
More informationMachine Learning for Quantitative Finance
Machine Learning for Quantitative Finance Fast derivative pricing Sofie Reyners Joint work with Jan De Spiegeleer, Dilip Madan and Wim Schoutens Derivative pricing is time-consuming... Vanilla option pricing
More informationEstimating a Dynamic Oligopolistic Game with Serially Correlated Unobserved Production Costs. SS223B-Empirical IO
Estimating a Dynamic Oligopolistic Game with Serially Correlated Unobserved Production Costs SS223B-Empirical IO Motivation There have been substantial recent developments in the empirical literature on
More informationBivariate Birnbaum-Saunders Distribution
Department of Mathematics & Statistics Indian Institute of Technology Kanpur January 2nd. 2013 Outline 1 Collaborators 2 3 Birnbaum-Saunders Distribution: Introduction & Properties 4 5 Outline 1 Collaborators
More informationME3620. Theory of Engineering Experimentation. Spring Chapter III. Random Variables and Probability Distributions.
ME3620 Theory of Engineering Experimentation Chapter III. Random Variables and Probability Distributions Chapter III 1 3.2 Random Variables In an experiment, a measurement is usually denoted by a variable
More informationIdiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective
Idiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective Alisdair McKay Boston University June 2013 Microeconomic evidence on insurance - Consumption responds to idiosyncratic
More informationEE 577: Wireless and Personal Communications
EE 577: Wireless and Personal Communications Large-Scale Signal Propagation Models 1 Propagation Models Basic Model is to determine the major path loss effects This can be refined to take into account
More informationExtracting Information from the Markets: A Bayesian Approach
Extracting Information from the Markets: A Bayesian Approach Daniel Waggoner The Federal Reserve Bank of Atlanta Florida State University, February 29, 2008 Disclaimer: The views expressed are the author
More informationSubject CS1 Actuarial Statistics 1 Core Principles. Syllabus. for the 2019 exams. 1 June 2018
` Subject CS1 Actuarial Statistics 1 Core Principles Syllabus for the 2019 exams 1 June 2018 Copyright in this Core Reading is the property of the Institute and Faculty of Actuaries who are the sole distributors.
More informationThe Use of Importance Sampling to Speed Up Stochastic Volatility Simulations
The Use of Importance Sampling to Speed Up Stochastic Volatility Simulations Stan Stilger June 6, 1 Fouque and Tullie use importance sampling for variance reduction in stochastic volatility simulations.
More informationState-Dependent Fiscal Multipliers: Calvo vs. Rotemberg *
State-Dependent Fiscal Multipliers: Calvo vs. Rotemberg * Eric Sims University of Notre Dame & NBER Jonathan Wolff Miami University May 31, 2017 Abstract This paper studies the properties of the fiscal
More informationCOS 513: Gibbs Sampling
COS 513: Gibbs Sampling Matthew Salesi December 6, 2010 1 Overview Concluding the coverage of Markov chain Monte Carlo (MCMC) sampling methods, we look today at Gibbs sampling. Gibbs sampling is a simple
More informationEELE 6333: Wireless Commuications
EELE 6333: Wireless Commuications Chapter # 2 : Path Loss and Shadowing (Part Two) Spring, 2012/2013 EELE 6333: Wireless Commuications - Ch.2 Dr. Musbah Shaat 1 / 23 Outline 1 Empirical Path Loss Models
More informationInformation aggregation for timing decision making.
MPRA Munich Personal RePEc Archive Information aggregation for timing decision making. Esteban Colla De-Robertis Universidad Panamericana - Campus México, Escuela de Ciencias Económicas y Empresariales
More information1 Roy model: Chiswick (1978) and Borjas (1987)
14.662, Spring 2015: Problem Set 3 Due Wednesday 22 April (before class) Heidi L. Williams TA: Peter Hull 1 Roy model: Chiswick (1978) and Borjas (1987) Chiswick (1978) is interested in estimating regressions
More informationProbability distributions relevant to radiowave propagation modelling
Rec. ITU-R P.57 RECOMMENDATION ITU-R P.57 PROBABILITY DISTRIBUTIONS RELEVANT TO RADIOWAVE PROPAGATION MODELLING (994) Rec. ITU-R P.57 The ITU Radiocommunication Assembly, considering a) that the propagation
More informationRiemannian Geometry, Key to Homework #1
Riemannian Geometry Key to Homework # Let σu v sin u cos v sin u sin v cos u < u < π < v < π be a parametrization of the unit sphere S {x y z R 3 x + y + z } Fix an angle < θ < π and consider the parallel
More informationDiscussion of: Asset Prices with Fading Memory
Discussion of: Asset Prices with Fading Memory Stefan Nagel and Zhengyang Xu Kent Daniel Columbia Business School & NBER 2018 Fordham Rising Stars Conference May 11, 2018 Introduction Summary Model Estimation
More informationApplication of an Interval Backward Finite Difference Method for Solving the One-Dimensional Heat Conduction Problem
Application of an Interval Backward Finite Difference Method for Solving the One-Dimensional Heat Conduction Problem Malgorzata A. Jankowska 1, Andrzej Marciniak 2 and Tomasz Hoffmann 2 1 Poznan University
More informationLECTURE NOTES 10 ARIEL M. VIALE
LECTURE NOTES 10 ARIEL M VIALE 1 Behavioral Asset Pricing 11 Prospect theory based asset pricing model Barberis, Huang, and Santos (2001) assume a Lucas pure-exchange economy with three types of assets:
More information1 Explaining Labor Market Volatility
Christiano Economics 416 Advanced Macroeconomics Take home midterm exam. 1 Explaining Labor Market Volatility The purpose of this question is to explore a labor market puzzle that has bedeviled business
More informationMAFS Computational Methods for Pricing Structured Products
MAFS550 - Computational Methods for Pricing Structured Products Solution to Homework Two Course instructor: Prof YK Kwok 1 Expand f(x 0 ) and f(x 0 x) at x 0 into Taylor series, where f(x 0 ) = f(x 0 )
More informationModelling strategies for bivariate circular data
Modelling strategies for bivariate circular data John T. Kent*, Kanti V. Mardia, & Charles C. Taylor Department of Statistics, University of Leeds 1 Introduction On the torus there are two common approaches
More informationPricing Problems under the Markov Chain Choice Model
Pricing Problems under the Markov Chain Choice Model James Dong School of Operations Research and Information Engineering, Cornell University, Ithaca, New York 14853, USA jd748@cornell.edu A. Serdar Simsek
More informationAsset Pricing Models with Underlying Time-varying Lévy Processes
Asset Pricing Models with Underlying Time-varying Lévy Processes Stochastics & Computational Finance 2015 Xuecan CUI Jang SCHILTZ University of Luxembourg July 9, 2015 Xuecan CUI, Jang SCHILTZ University
More informationNumerical valuation for option pricing under jump-diffusion models by finite differences
Numerical valuation for option pricing under jump-diffusion models by finite differences YongHoon Kwon Younhee Lee Department of Mathematics Pohang University of Science and Technology June 23, 2010 Table
More informationDynamic Response of Jackup Units Re-evaluation of SNAME 5-5A Four Methods
ISOPE 2010 Conference Beijing, China 24 June 2010 Dynamic Response of Jackup Units Re-evaluation of SNAME 5-5A Four Methods Xi Ying Zhang, Zhi Ping Cheng, Jer-Fang Wu and Chee Chow Kei ABS 1 Main Contents
More informationPosterior Inference. , where should we start? Consider the following computational procedure: 1. draw samples. 2. convert. 3. compute properties
Posterior Inference Example. Consider a binomial model where we have a posterior distribution for the probability term, θ. Suppose we want to make inferences about the log-odds γ = log ( θ 1 θ), where
More informationMaximum Likelihood Estimation
Maximum Likelihood Estimation The likelihood and log-likelihood functions are the basis for deriving estimators for parameters, given data. While the shapes of these two functions are different, they have
More informationEC316a: Advanced Scientific Computation, Fall Discrete time, continuous state dynamic models: solution methods
EC316a: Advanced Scientific Computation, Fall 2003 Notes Section 4 Discrete time, continuous state dynamic models: solution methods We consider now solution methods for discrete time models in which decisions
More informationAs an example, we consider the following PDE with one variable; Finite difference method is one of numerical method for the PDE.
7. Introduction to the numerical integration of PDE. As an example, we consider the following PDE with one variable; Finite difference method is one of numerical method for the PDE. Accuracy requirements
More informationDynamic Replication of Non-Maturing Assets and Liabilities
Dynamic Replication of Non-Maturing Assets and Liabilities Michael Schürle Institute for Operations Research and Computational Finance, University of St. Gallen, Bodanstr. 6, CH-9000 St. Gallen, Switzerland
More informationST440/550: Applied Bayesian Analysis. (5) Multi-parameter models - Summarizing the posterior
(5) Multi-parameter models - Summarizing the posterior Models with more than one parameter Thus far we have studied single-parameter models, but most analyses have several parameters For example, consider
More informationRESEARCH ARTICLE. The Penalized Biclustering Model And Related Algorithms Supplemental Online Material
Journal of Applied Statistics Vol. 00, No. 00, Month 00x, 8 RESEARCH ARTICLE The Penalized Biclustering Model And Related Algorithms Supplemental Online Material Thierry Cheouo and Alejandro Murua Département
More informationChapter 3 Common Families of Distributions. Definition 3.4.1: A family of pmfs or pdfs is called exponential family if it can be expressed as
Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Review for the previous lecture Definition: Several continuous distributions, including uniform, gamma, normal, Beta, Cauchy, double exponential
More informationMeasurement of Radio Propagation Path Loss over the Sea for Wireless Multimedia
Measurement of Radio Propagation Path Loss over the Sea for Wireless Multimedia Dong You Choi Division of Electronics & Information Engineering, Cheongju University, #36 Naedok-dong, Sangdang-gu, Cheongju-city
More informationAdaptive Experiments for Policy Choice. March 8, 2019
Adaptive Experiments for Policy Choice Maximilian Kasy Anja Sautmann March 8, 2019 Introduction The goal of many experiments is to inform policy choices: 1. Job search assistance for refugees: Treatments:
More information"Pricing Exotic Options using Strong Convergence Properties
Fourth Oxford / Princeton Workshop on Financial Mathematics "Pricing Exotic Options using Strong Convergence Properties Klaus E. Schmitz Abe schmitz@maths.ox.ac.uk www.maths.ox.ac.uk/~schmitz Prof. Mike
More informationTop-down particle filtering for Bayesian decision trees
Top-down particle filtering for Bayesian decision trees Balaji Lakshminarayanan 1, Daniel M. Roy 2 and Yee Whye Teh 3 1. Gatsby Unit, UCL, 2. University of Cambridge and 3. University of Oxford Outline
More informationWeight Smoothing with Laplace Prior and Its Application in GLM Model
Weight Smoothing with Laplace Prior and Its Application in GLM Model Xi Xia 1 Michael Elliott 1,2 1 Department of Biostatistics, 2 Survey Methodology Program, University of Michigan National Cancer Institute
More informationChapter 5 Univariate time-series analysis. () Chapter 5 Univariate time-series analysis 1 / 29
Chapter 5 Univariate time-series analysis () Chapter 5 Univariate time-series analysis 1 / 29 Time-Series Time-series is a sequence fx 1, x 2,..., x T g or fx t g, t = 1,..., T, where t is an index denoting
More informationPrentice Hall Connected Mathematics 2, 7th Grade Units 2009 Correlated to: Minnesota K-12 Academic Standards in Mathematics, 9/2008 (Grade 7)
7.1.1.1 Know that every rational number can be written as the ratio of two integers or as a terminating or repeating decimal. Recognize that π is not rational, but that it can be approximated by rational
More informationApproximation Methods in Derivatives Pricing
Approximation Methods in Derivatives Pricing Minqiang Li Bloomberg LP September 24, 2013 1 / 27 Outline of the talk A brief overview of approximation methods Timer option price approximation Perpetual
More informationChapter 7: Estimation Sections
1 / 40 Chapter 7: Estimation Sections 7.1 Statistical Inference Bayesian Methods: Chapter 7 7.2 Prior and Posterior Distributions 7.3 Conjugate Prior Distributions 7.4 Bayes Estimators Frequentist Methods:
More informationDYNAMIC ECONOMETRIC MODELS Vol. 8 Nicolaus Copernicus University Toruń Mateusz Pipień Cracow University of Economics
DYNAMIC ECONOMETRIC MODELS Vol. 8 Nicolaus Copernicus University Toruń 2008 Mateusz Pipień Cracow University of Economics On the Use of the Family of Beta Distributions in Testing Tradeoff Between Risk
More informationA THREE-FACTOR CONVERGENCE MODEL OF INTEREST RATES
Proceedings of ALGORITMY 01 pp. 95 104 A THREE-FACTOR CONVERGENCE MODEL OF INTEREST RATES BEÁTA STEHLÍKOVÁ AND ZUZANA ZÍKOVÁ Abstract. A convergence model of interest rates explains the evolution of the
More informationก ก ก ก ก ก ก. ก (Food Safety Risk Assessment Workshop) 1 : Fundamental ( ก ( NAC 2010)) 2 3 : Excel and Statistics Simulation Software\
ก ก ก ก (Food Safety Risk Assessment Workshop) ก ก ก ก ก ก ก ก 5 1 : Fundamental ( ก 29-30.. 53 ( NAC 2010)) 2 3 : Excel and Statistics Simulation Software\ 1 4 2553 4 5 : Quantitative Risk Modeling Microbial
More informationAssessment on Credit Risk of Real Estate Based on Logistic Regression Model
Assessment on Credit Risk of Real Estate Based on Logistic Regression Model Li Hongli 1, a, Song Liwei 2,b 1 Chongqing Engineering Polytechnic College, Chongqing400037, China 2 Division of Planning and
More informationAnalysis of the Bitcoin Exchange Using Particle MCMC Methods
Analysis of the Bitcoin Exchange Using Particle MCMC Methods by Michael Johnson M.Sc., University of British Columbia, 2013 B.Sc., University of Winnipeg, 2011 Project Submitted in Partial Fulfillment
More information6. Genetics examples: Hardy-Weinberg Equilibrium
PBCB 206 (Fall 2006) Instructor: Fei Zou email: fzou@bios.unc.edu office: 3107D McGavran-Greenberg Hall Lecture 4 Topics for Lecture 4 1. Parametric models and estimating parameters from data 2. Method
More informationPractical example of an Economic Scenario Generator
Practical example of an Economic Scenario Generator Martin Schenk Actuarial & Insurance Solutions SAV 7 March 2014 Agenda Introduction Deterministic vs. stochastic approach Mathematical model Application
More informationWhat can we do with numerical optimization?
Optimization motivation and background Eddie Wadbro Introduction to PDE Constrained Optimization, 2016 February 15 16, 2016 Eddie Wadbro, Introduction to PDE Constrained Optimization, February 15 16, 2016
More informationValuation of performance-dependent options in a Black- Scholes framework
Valuation of performance-dependent options in a Black- Scholes framework Thomas Gerstner, Markus Holtz Institut für Numerische Simulation, Universität Bonn, Germany Ralf Korn Fachbereich Mathematik, TU
More information2017 IAA EDUCATION SYLLABUS
2017 IAA EDUCATION SYLLABUS 1. STATISTICS Aim: To enable students to apply core statistical techniques to actuarial applications in insurance, pensions and emerging areas of actuarial practice. 1.1 RANDOM
More informationExact Inference (9/30/13) 2 A brief review of Forward-Backward and EM for HMMs
STA561: Probabilistic machine learning Exact Inference (9/30/13) Lecturer: Barbara Engelhardt Scribes: Jiawei Liang, He Jiang, Brittany Cohen 1 Validation for Clustering If we have two centroids, η 1 and
More informationSTA2601. Tutorial letter 105/2/2018. Applied Statistics II. Semester 2. Department of Statistics STA2601/105/2/2018 TRIAL EXAMINATION PAPER
STA2601/105/2/2018 Tutorial letter 105/2/2018 Applied Statistics II STA2601 Semester 2 Department of Statistics TRIAL EXAMINATION PAPER Define tomorrow. university of south africa Dear Student Congratulations
More informationMODELLING OF INCOME AND WAGE DISTRIBUTION USING THE METHOD OF L-MOMENTS OF PARAMETER ESTIMATION
International Days of Statistics and Economics, Prague, September -3, MODELLING OF INCOME AND WAGE DISTRIBUTION USING THE METHOD OF L-MOMENTS OF PARAMETER ESTIMATION Diana Bílková Abstract Using L-moments
More informationMORE DATA OR BETTER DATA? A Statistical Decision Problem. Jeff Dominitz Resolution Economics. and. Charles F. Manski Northwestern University
MORE DATA OR BETTER DATA? A Statistical Decision Problem Jeff Dominitz Resolution Economics and Charles F. Manski Northwestern University Review of Economic Studies, 2017 Summary When designing data collection,
More informationUsing condition numbers to assess numerical quality in HPC applications
Using condition numbers to assess numerical quality in HPC applications Marc Baboulin Inria Saclay / Université Paris-Sud, France INRIA - Illinois Petascale Computing Joint Laboratory 9th workshop, June
More informationOn Stochastic Evaluation of S N Models. Based on Lifetime Distribution
Applied Mathematical Sciences, Vol. 8, 2014, no. 27, 1323-1331 HIKARI Ltd, www.m-hikari.com http://dx.doi.org/10.12988/ams.2014.412 On Stochastic Evaluation of S N Models Based on Lifetime Distribution
More informationSeminar: Efficient Monte Carlo Methods for Uncertainty Quantification
Seminar: Efficient Monte Carlo Methods for Uncertainty Quantification Elisabeth Ullmann Lehrstuhl für Numerische Mathematik (M2) TU München Elisabeth Ullmann (TU München) Efficient Monte Carlo for UQ 1
More informationFinancial intermediaries in an estimated DSGE model for the UK
Financial intermediaries in an estimated DSGE model for the UK Stefania Villa a Jing Yang b a Birkbeck College b Bank of England Cambridge Conference - New Instruments of Monetary Policy: The Challenges
More informationPortfolio Management and Optimal Execution via Convex Optimization
Portfolio Management and Optimal Execution via Convex Optimization Enzo Busseti Stanford University April 9th, 2018 Problems portfolio management choose trades with optimization minimize risk, maximize
More informationClassifying Solvency Capital Requirement Contribution of Collective Investments under Solvency II
Classifying Solvency Capital Requirement Contribution of Collective Investments under Solvency II Working Paper Series 2016-03 (01) SolvencyAnalytics.com March 2016 Classifying Solvency Capital Requirement
More informationModeling the extremes of temperature time series. Debbie J. Dupuis Department of Decision Sciences HEC Montréal
Modeling the extremes of temperature time series Debbie J. Dupuis Department of Decision Sciences HEC Montréal Outline Fig. 1: S&P 500. Daily negative returns (losses), Realized Variance (RV) and Jump
More informationAn Improved Skewness Measure
An Improved Skewness Measure Richard A. Groeneveld Professor Emeritus, Department of Statistics Iowa State University ragroeneveld@valley.net Glen Meeden School of Statistics University of Minnesota Minneapolis,
More informationObjective Bayesian Analysis for Heteroscedastic Regression
Analysis for Heteroscedastic Regression & Esther Salazar Universidade Federal do Rio de Janeiro Colóquio Inter-institucional: Modelos Estocásticos e Aplicações 2009 Collaborators: Marco Ferreira and Thais
More informationSupplemental Online Appendix to Han and Hong, Understanding In-House Transactions in the Real Estate Brokerage Industry
Supplemental Online Appendix to Han and Hong, Understanding In-House Transactions in the Real Estate Brokerage Industry Appendix A: An Agent-Intermediated Search Model Our motivating theoretical framework
More informationFX Smile Modelling. 9 September September 9, 2008
FX Smile Modelling 9 September 008 September 9, 008 Contents 1 FX Implied Volatility 1 Interpolation.1 Parametrisation............................. Pure Interpolation.......................... Abstract
More informationINTEREST RATES AND FX MODELS
INTEREST RATES AND FX MODELS 7. Risk Management Andrew Lesniewski Courant Institute of Mathematical Sciences New York University New York March 8, 2012 2 Interest Rates & FX Models Contents 1 Introduction
More informationEmpirical Approach to the Heston Model Parameters on the Exchange Rate USD / COP
Empirical Approach to the Heston Model Parameters on the Exchange Rate USD / COP ICASQF 2016, Cartagena - Colombia C. Alexander Grajales 1 Santiago Medina 2 1 University of Antioquia, Colombia 2 Nacional
More informationOption Pricing for a Stochastic-Volatility Jump-Diffusion Model
Option Pricing for a Stochastic-Volatility Jump-Diffusion Model Guoqing Yan and Floyd B. Hanson Department of Mathematics, Statistics, and Computer Science University of Illinois at Chicago Conference
More informationMATH3075/3975 FINANCIAL MATHEMATICS TUTORIAL PROBLEMS
MATH307/37 FINANCIAL MATHEMATICS TUTORIAL PROBLEMS School of Mathematics and Statistics Semester, 04 Tutorial problems should be used to test your mathematical skills and understanding of the lecture material.
More informationWhat is Cyclical in Credit Cycles?
What is Cyclical in Credit Cycles? Rui Cui May 31, 2014 Introduction Credit cycles are growth cycles Cyclicality in the amount of new credit Explanations: collateral constraints, equity constraints, leverage
More informationAn Online Algorithm for Multi-Strategy Trading Utilizing Market Regimes
An Online Algorithm for Multi-Strategy Trading Utilizing Market Regimes Hynek Mlnařík 1 Subramanian Ramamoorthy 2 Rahul Savani 1 1 Warwick Institute for Financial Computing Department of Computer Science
More informationTangent Lévy Models. Sergey Nadtochiy (joint work with René Carmona) Oxford-Man Institute of Quantitative Finance University of Oxford.
Tangent Lévy Models Sergey Nadtochiy (joint work with René Carmona) Oxford-Man Institute of Quantitative Finance University of Oxford June 24, 2010 6th World Congress of the Bachelier Finance Society Sergey
More informationExtend the ideas of Kan and Zhou paper on Optimal Portfolio Construction under parameter uncertainty
Extend the ideas of Kan and Zhou paper on Optimal Portfolio Construction under parameter uncertainty George Photiou Lincoln College University of Oxford A dissertation submitted in partial fulfilment for
More informationEstimating Mixed Logit Models with Large Choice Sets. Roger H. von Haefen, NC State & NBER Adam Domanski, NOAA July 2013
Estimating Mixed Logit Models with Large Choice Sets Roger H. von Haefen, NC State & NBER Adam Domanski, NOAA July 2013 Motivation Bayer et al. (JPE, 2007) Sorting modeling / housing choice 250,000 individuals
More informationStatistical Inference and Methods
Department of Mathematics Imperial College London d.stephens@imperial.ac.uk http://stats.ma.ic.ac.uk/ das01/ 14th February 2006 Part VII Session 7: Volatility Modelling Session 7: Volatility Modelling
More informationEuropean option pricing under parameter uncertainty
European option pricing under parameter uncertainty Martin Jönsson (joint work with Samuel Cohen) University of Oxford Workshop on BSDEs, SPDEs and their Applications July 4, 2017 Introduction 2/29 Introduction
More informationRevenue Management Under the Markov Chain Choice Model
Revenue Management Under the Markov Chain Choice Model Jacob B. Feldman School of Operations Research and Information Engineering, Cornell University, Ithaca, New York 14853, USA jbf232@cornell.edu Huseyin
More informationModel Estimation. Liuren Wu. Fall, Zicklin School of Business, Baruch College. Liuren Wu Model Estimation Option Pricing, Fall, / 16
Model Estimation Liuren Wu Zicklin School of Business, Baruch College Fall, 2007 Liuren Wu Model Estimation Option Pricing, Fall, 2007 1 / 16 Outline 1 Statistical dynamics 2 Risk-neutral dynamics 3 Joint
More informationESTIMATION OF UTILITY FUNCTIONS: MARKET VS. REPRESENTATIVE AGENT THEORY
ESTIMATION OF UTILITY FUNCTIONS: MARKET VS. REPRESENTATIVE AGENT THEORY Kai Detlefsen Wolfgang K. Härdle Rouslan A. Moro, Deutsches Institut für Wirtschaftsforschung (DIW) Center for Applied Statistics
More information"Vibrato" Monte Carlo evaluation of Greeks
"Vibrato" Monte Carlo evaluation of Greeks (Smoking Adjoints: part 3) Mike Giles mike.giles@maths.ox.ac.uk Oxford University Mathematical Institute Oxford-Man Institute of Quantitative Finance MCQMC 2008,
More informationHeterogeneous Firm, Financial Market Integration and International Risk Sharing
Heterogeneous Firm, Financial Market Integration and International Risk Sharing Ming-Jen Chang, Shikuan Chen and Yen-Chen Wu National DongHwa University Thursday 22 nd November 2018 Department of Economics,
More information