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Ekonometria 25/3
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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.
| Rok wydania | 2021 |
|---|---|
| Liczba stron | 89 |
| Kategoria | Publikacje darmowe |
| Wydawca | Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu |
| Język publikacji | angielski |
| Informacja o sprzedawcy | ePWN sp. z o.o. |
POLECAMY
Ciekawe propozycje
Spis treści
| Introduction VII | |
| Kirsi Purhonen, Marja-Leena Kauronen, Olli Lehtonen, Angelika Polak, Valdemar Kallunki: Visual research methods: Recognising the social identities and behaviour of non-smokers and smokers | 1 |
| Yeong Nain Chi, Orson Chi: Modeling and forecasting of monthly global price of bananas using seasonal ARIMA and multilayer perceptron neural network | 21 |
| Dushko Josheski, Mico Apostolov: Equilibrium short-rate models vs no-arbitrage models: Literature review and computational examples | 42 |
| Anna Sulima: The absence of arbitrage on the complete Black-Scholes-Merton regime-switching Lévy market | 72 |
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