About: Verification of suitability of particular Lévy models for selected issues of financial modeling

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Verification of suitability of particular Lévy models for selected issues of financial modeling Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Projekt, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	http://linked.opendata.cz/ontology/domain/vavai/Projekt
rdfs:seeAlso	http://www.isvav.cz/projectDetail.do?rowId=GA13-13142S
Description	Current issues of financial modeling are focused on a large selection of problems, such as no-arbitrage price detection, efficient estimation of risk measures or selection of efficient and optimal portfolio. Although in the past the Gaussian distribution might be regarded as sufficient at least for modeling of well diversified portfolios, we can clearly see that at present monitoring of just two characteristics of returns distribution (mean and variance) is completely insufficient. When leaving simple elliptical distributions behind, the question of dependency modeling in tails arises as well. This project aims on the analysis of particular Lévy models and their suitability to solve selected problems of economics and finance. The suitability of particular models will be assessed according to backtesting and stresstesting and potentially also no-arbitrage conditions. Furthermore, identified drawbacks (eg. instability of parameters, problems with their estimation) of applied models should lead to their re-formulation (eg. on the basis of fuzzy sets theory). (en) Aktuální úlohy finančního modelování jsou zaměřeny na celou řadu problémů, jako je nalezení nearbitrážní ceny, efektivní odhad zvolené míry rizika nebo identifikace efektivního a potažmo i optimálního portfolia. Pravděpodobně jako důsledek globalizace a internacionalizace finančních trhů dochází v současnosti k mnohem rychlejšímu přelívaní informací mezi jednotlivými tržními segmenty a regiony. Kvalitní model by měl být schopen postihnout jak běžné události, tak extrémní. Tento projekt je zaměřen na analýzu jednotlivých Lévyho modelů s ohledem na efektivní využití při řešení vybraných úloh finančního modelování. Vhodnost jednotlivých modelů bude posuzována jednak s ohledem na to, jak dosažené výsledky splňují podmínky nemožnosti arbitráže, jednak z pohledu provádění zpětného a případně i zátěžového testování. V případě potřeby (neuspokojivých výsledků) dojde k reformulaci klasických Lévyho modelů tak, aby bylo umožněno zohlednit nestabilitu či dokonce nedostatečnou neznalost vstupních parametrů (fuzzy množiny).
Title	Verification of suitability of particular Lévy models for selected issues of financial modeling (en) Ověření vhodnosti jednotlivých Lévyho modelů pro vybrané úlohy finanční modelování
skos:notation	GA13-13142S
http://linked.open...avai/cep/aktivita	Standard projects
http://linked.open...kovaStatniPodpora	http://linked.opendata.cz/resource/domain/vavai/projekt/GA13-13142S/celkovaStatniPodpora
http://linked.open...ep/celkoveNaklady	http://linked.opendata.cz/resource/domain/vavai/projekt/GA13-13142S/celkoveNaklady
http://linked.open...datumDodatniDoRIV	2015-04-23 (xsd:date)
http://linked.open...i/cep/druhSouteze	VS - Veřejná soutěž ve výzkumu a vývoji
http://linked.open...ep/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open.../cep/fazeProjektu	100770169
http://linked.open...ai/cep/hlavniObor	AH - Ekonomie
http://linked.open...vai/cep/kategorie	ZV - Základní výzkum
http://linked.open.../cep/klicovaSlova	Finance, risk, estimation, VaR, portfolio, copula function (en)
http://linked.open...ep/partnetrHlavni	Ekonomická fakulta
http://linked.open...inujicichPrijemcu	0 (xsd:int)
http://linked.open...cep/pocetPrijemcu	1 (xsd:int)
http://linked.open...ocetSpoluPrijemcu	0 (xsd:int)
http://linked.open.../pocetVysledkuRIV	48 (xsd:int)
http://linked.open...enychVysledkuVRIV	48 (xsd:int)
http://linked.open...lneniVMinulemRoce	2014-03-31 (xsd:date)
http://linked.open.../prideleniPodpory	http://linked.opendata.cz/resource/domain/vavai/cep/prideleniPodpory/13-13142S
http://linked.open...iciPoslednihoRoku	2015
http://linked.open...atUdajeProjZameru	2015
http://linked.open.../vavai/cep/soutez	SGA0201300005
http://linked.open...usZobrazovaneFaze	DRRVB
http://linked.open...ai/cep/typPojektu	P - Projekt výzkumu a vývoje financovaný ze státního rozpočtu
http://linked.open...ep/ukonceniReseni	2017-12-31 (xsd:date)
http://linked.open...ep/zahajeniReseni	2013-02-01 (xsd:date)
http://linked.open...tniCyklusProjektu	ZBB
http://linked.open.../cep/klicoveSlovo	Finance VaR estimation portfolio risk
is http://linked.open...vavai/riv/projekt of	Dominance among financial markets Discrete Fuzzy Transform of Higher Degree Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies Estimating Capital Requirement in Insurance Sector Efficient Risk Models: Application of DEA Approach Econometric Analysis of Interactions of the Central European Equity Markets in the Context of the Global Financial Crisis Law of Large Numbers for Random LU-Fuzzy Numbers: Some Results in the Context of Simulation of Financial Quantities A Financial Application of Multivariate Stochastic Orderings Consistent with Preferences ASYMMETRIC IMPACT OF SHOCKS ON FINANCIAL MARKET VOLATILITY: COMPARISON OF EMERGING AND DEVELOPED STOCK MARKETS Backtesting of VaR-based models: Methodological review and selected applications Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios International portfolio selection with Markov processes and liquidity constraints Multivariate stochastic orderings consistent with preferences and their possible applications Option pricing with simulation of fuzzy stochastic variables Simulace Monte Carlo jako nástroj pro odhad kapitálových požadavků ve finančních institucích An asymptotic Markovian approach to the portfolio selection problem Analysis of stock markets volatility comovements using wavelet transformation: example from Central European stock market Dimensional portfolio reduction problems with asymptotic Markov processes Imprecise input data and option valuation problem Reward and risk in the fixed income markets Volume-Return portfolio selection and large scale dimensional problems with bivariate Markov chains STUCTURAL BREAKS IN VOLATILITY OF STOCK MARKETS Modeling and Forecasting of Return Volatility Using GARCH and HAR-RV Models: Case of US Stock Market Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements Black–Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method A Financial Application of Multivariate Stochastic Orderings Consistent with Preferences Numerical Methods for Option Pricing On the use of dispersion measures consistent with additive shifts. Optimal portfolio performance with exchange-traded funds. Potential impact of mortality rate modeling in the Czech Republic on the solvency Portfolio choice: a non parametric Markovian framework Econometric Analysis of Linkages among Central European Stock Markets: an Impact of the Global Financial Crisis Ex-post portfolio comparison in the BRICs stocks markets On Structural Breaks and Volatility Persistence: Evidence from Central European Stock Market On Conditional Volatility Model Comparison No arbitrage condition of implied volatility and bandwidth selection. Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets Comparison of market risk models with respect to suggested changes of Basel Accord Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets Portfolio selection in the BRICs stocks markets using Markov processes Portfolio problems based on returns consistent with the investor's preferences Portfolio selection in the presence of systemic risk Impact of portfolio strategies based on different return definitions MONTE CARLO SIMULATION METHODS AS AN ESTIMATION TOOL FOR CAPITAL REQUIREMENTS IN INSURANCE SECTOR Valuation of financial derivatives
is http://linked.open...vavai/cep/projekt of	http://linked.opendata.cz/resource/domain/vavai/cep/ucast/GA13-13142S/2013/orjk%3A27510 http://linked.opendata.cz/resource/domain/vavai/cep/ucast/GA13-13142S/2014/orjk%3A27510 http://linked.opendata.cz/resource/domain/vavai/cep/ucast/GA13-13142S/2015/orjk%3A27510 http://linked.opendata.cz/resource/domain/vavai/cep/ucast/GA13-13142S/2016/orjk%3A27510 http://linked.opendata.cz/resource/domain/vavai/cep/ucast/GA13-13142S/2017/orjk%3A27510

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 41 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2025 OpenLink Software