Form of Work
E-booki
(1)
IBUK Libra
(1)
Author
zbiorowa Praca
(1)
Year
2020 - 2022
(1)
Country
Poland
(1)
Language
English
(1)
1 result Filter
E-book
In basket
With the publication of the current issue of the journal Econometrics Ekonometria. Advances in Applied Data Analysis, we present four articles. Kirsi Purhonen, Marja- -Leena Kauronen, Olli Lehtonen, Angelika Polak and Valdemar Kallunki describe the results of visual research methods (VRM) for recognising the social identities and behaviour of non-smokers and smokers. VRM provide precise results regarding the phenomenon and offer a sympathetic, considerate and suitable way to examine it. The paper by Yeong Nain Chi and Orson Chi concerns the modelling and forecasting of the monthly global price of bananas. The primary purpose of this study was to pursue the analysis of the time series data and to demonstrate the role of the time series model in the predicting process using long-term records of the monthly global price of bananas. The study of the equilibrium short-rate models and no-arbitrage models is the subject of the paper by Dushko Josheski and Mico Apostolov, in which equilibrium short-rate models were presented as one-factor short-rate models, the Cox-Ingersoll-Ross (CIR) model and the Vasicek model, and no-arbitrage models were the Hull-White (HW) model, the Binomial lattice model for bond pricing and interest rate modelling, the Black-Karasinski (BK) model, and the Heath-Jarrow- -Morton (HJM) model. In this issue Anna Sulima describes the absence of arbitrage on the complete Black-Scholes-Merton regime-switching Lévy market. In the considered model, the prices of financial assets were described by the Lévy process in which the coefficients depend on the states of the Markov chain. Such a market is incomplete, and in order to complete it, jump financial instruments and power-jump assets were added.
Dostęp do treści elektronicznej wymaga posiadania kodu PIN. Po odbiór kodu PIN zapraszamy do biblioteki.
This item is available online. Expand information to see details.
The item has been added to the basket. If you don't know what the basket is for, click here for details.
Do not show it again