Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2006-03-17
2009-12-08
Kalinowski, Alexander (Department: 3691)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S035000, C705S037000
Reexamination Certificate
active
07630931
ABSTRACT:
A system and method for pricing of derivatives is presented. A volatility clustering time series process, including one or more predictive variables, is generated with an innovation process. Marginals of a probability distribution for the time series process follow a smoothly truncated heavy tailed and asymmetric probability distribution. Model parameters for the time series process are calibrated to a set of exogenously provided derivative prices. Pricing of derivatives, including options and swaps, is determined.
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Menn Christian
Rachev Svetlozar Todorov
Finanalytica, Inc.
Inouye Patrick J. S.
Kalinowski Alexander
Smith Scott E.
Vyas Abhishek
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