This article describes three approximation methods I used to solve the growth model (Model 1) studied by the National Bureau of Economic Research's nonlinear rational-expectations-modeling group ...
Fitting SPX and Vix smiles simultaneously is one of the most challenging problems in volatility modelling. A long-standing conjecture is that it may not be possible to jointly calibrate these two ...
This is a preview. Log in through your library . Abstract The basic properties are stated of a linear programming problem with a linear objective function having quadratic constraints whose associated ...
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