The Experts below are selected from a list of 5409 Experts worldwide ranked by ideXlab platform
Martino Grasselli - One of the best experts on this subject based on the ideXlab platform.
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A flexible spot multiple-curve model
Quantitative Finance, 2016Co-Authors: Martino Grasselli, Giulio MigliettaAbstract:In this paper, we propose an extension of the Calibration approach considered in Brigo and Mercurio\ud [Finance Stoch., 2001, 5(3), 369–387] to the multiple-curve setting.We introduce deterministic time\ud shifts in order to match any initial term structure while keeping the time homogeneity of the Markov\ud process driving the instantaneous risk-free spot rate and the spot LIBOR.We apply the methodology\ud to the case where the Markov process belongs to the affine family, where closed form solutions are\ud available for the bond prices and the FRAs on LIBOR. A Calibration Exercise based on real data\ud illustrates in the simple Gaussian setting the flexibility of our approach, which reveals its potentiality\ud in the non-Gaussian environment, where loosing time homogeneity leads to very uncomfortable\ud consequences in terms of the solvability of the corresponding Riccati ODE
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A Flexible Spot Multiple-Curve Model
SSRN Electronic Journal, 2014Co-Authors: Martino Grasselli, Giulio MigliettaAbstract:We propose a model for the instantaneous risk-free spot rate and for the spot LIBOR, driven by a time-homogeneous Markovian process. We introduce deterministic time-shifts in order to match any initial term-structure. By doing so, the model automatically becomes an exogenous term-structure model, in the spirit of Brigo and Mercurio (2001) who proposed this approach in the single curve case. A Calibration Exercise based on real data illustrates the flexibility of our approach for some typical speci fications used in the literature and in the bank industry.
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Pricing and Calibration in Local Volatility Models via Fast Quantization
SSRN Electronic Journal, 2014Co-Authors: Giorgia Callegaro, Lucio Fiorin, Martino GrasselliAbstract:In this paper we propose the first Calibration Exercise based on quantization methods. Pricing and Calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise Calibration cannot be performed efficiently. We apply in a local volatility context the recursive marginal quantization methodology to the pricing of vanilla and barrier options. A successful Calibration of the Quadratic Normal Volatility model is performed in order to show the potentiality of the method in a concrete example, while a numerical Exercise on barrier options shows that quantization overcomes Monte-Carlo methods.
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An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
SIAM Journal on Financial Mathematics, 2014Co-Authors: Alessandro Gnoatto, Martino GrasselliAbstract:We introduce a tractable multicurrency model with stochastic volatility and correlated stochastic\ud interest rates that takes into account the smile in the foreign exchange (FX) market and the evolution\ud of yield curves. The pricing of vanilla options on FX rates can be efficiently performed through the\ud FFT methodology thanks to the affine property of the model. Our framework is also able to describe\ud many nontrivial links between FX rates and interest rates: a Calibration Exercise highlights the ability\ud of the model to simultaneously fit FX implied volatilities while being coherent with interest rate\ud product
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An Affine Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates
SSRN Electronic Journal, 2013Co-Authors: Alessandro Gnoatto, Martino GrasselliAbstract:We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed efficiently through the FFT methodology thanks to the affinity of the model. A joint Calibration Exercise of the implied volatility surfaces of a triangle of FX rates shows the flexibility of our framework in dealing with the typical symmetries that characterize the FX market. Our framework is also able to describe many non trivial links between FX rates and interest rates: a second Calibration Exercise highlights the ability of the model to fi t simultaneously FX implied volatilities while being coherent with interest rate products.
Pedro Zarco - One of the best experts on this subject based on the ideXlab platform.
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Scoring with the Berlin MRI method for assessment of spinal inflammatory activity in patients with ankylosing spondylitis: a Calibration Exercise among rheumatologists.
Clinical and experimental rheumatology, 2013Co-Authors: Loreto Carmona, A. Sellas, Carlos Rodríguez-lozano, Xavier Juanola, José Francisco García Llorente, José Luis Fernández Sueiro, L. Linares, M Carmen De Castro, Mireia Moreno, Pedro ZarcoAbstract:To test the reliability of the Berlin MRI scoring method and the effect of a Calibration Exercise on the score's reliability among untrained readers in MRI examinations of patients with established ankylosing spondylitis (AS). Eleven rheumatologists read blinded images of 20 AS patients before and after a two-day workshop on the Berlin MRI scoring method. Reliability (intra- and inter-reader) and concordance with the expert (all measured by intraclass correlation coefficient (ICC)) were compared before and after 2 weeks of the training. Feasibility in terms of time and difficulty was also measured. The mean Berlin score increased from (mean ± standard deviation) 5.04 ± 6.41 before to 6.40±7.08 after the Calibration Exercise (p<0.01). Inter-reader ICC decreased from 0.83 (95% CI: 0.75-0.93) to 0.78 (95% CI: 0.66-0.90), and intra-reader ICC from 0.89 (95% CI: 0.84-0.94) to 0.87 (95% CI: 0.82-0.92). Agreement with an experienced reader improved after the Calibration Exercise, with ICC = 0.59 (95% CI 0.45-0.76) before vs. ICC = 0.65 (95% CI 0.50-0.80) after training. The Berlin method is a reliable scoring method for assessment of spinal inflammatory activity by using MRI in patients with AS, even in the hands of inexperienced readers. A Calibration Exercise can improve feasibility and sensitivity of the scoring method.
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scoring with the berlin mri method for assessment of spinal inflammatory activity in patients with ankylosing spondylitis a Calibration Exercise among rheumatologists
Clinical and Experimental Rheumatology, 2013Co-Authors: Loreto Carmona, A. Sellas, Xavier Juanola, José Francisco García Llorente, José Luis Fernández Sueiro, L. Linares, Mireia Moreno, Carlos Rodriguezlozano, Carmen M De Castro, Pedro ZarcoAbstract:OBJECTIVES To test the reliability of the Berlin MRI scoring method and the effect of a Calibration Exercise on the score's reliability among untrained readers in MRI examinations of patients with established ankylosing spondylitis (AS). METHODS Eleven rheumatologists read blinded images of 20 AS patients before and after a two-day workshop on the Berlin MRI scoring method. Reliability (intra- and inter-reader) and concordance with the expert (all measured by intraclass correlation coefficient (ICC)) were compared before and after 2 weeks of the training. Feasibility in terms of time and difficulty was also measured. RESULTS The mean Berlin score increased from (mean ± standard deviation) 5.04 ± 6.41 before to 6.40±7.08 after the Calibration Exercise (p<0.01). Inter-reader ICC decreased from 0.83 (95% CI: 0.75-0.93) to 0.78 (95% CI: 0.66-0.90), and intra-reader ICC from 0.89 (95% CI: 0.84-0.94) to 0.87 (95% CI: 0.82-0.92). Agreement with an experienced reader improved after the Calibration Exercise, with ICC = 0.59 (95% CI 0.45-0.76) before vs. ICC = 0.65 (95% CI 0.50-0.80) after training. CONCLUSIONS The Berlin method is a reliable scoring method for assessment of spinal inflammatory activity by using MRI in patients with AS, even in the hands of inexperienced readers. A Calibration Exercise can improve feasibility and sensitivity of the scoring method.
Erhan Bayraktar - One of the best experts on this subject based on the ideXlab platform.
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Pricing Options on Defaultable Stocks
Applied Mathematical Finance, 2008Co-Authors: Erhan BayraktarAbstract:† Stock option price approximations are developed for a model which takes both the risk of default and the stochastic volatility into account. The intensity of defaults is assumed to be influenced by the volatility. It is shown that it might be possible to infer the risk neutral default intensity from the stock option prices. The proposed option price approximation has a rich implied volatility surface structure and fits the data implied volatility well. A Calibration Exercise shows that an effective hazard rate from bonds issued by a company can be used to explain the impliedvolatility skew of the option prices issued by the same company. It is also observed that the implied yield spread obtained from calibrating all the model parameters to the option prices matches the observed yield spread.Option pricing, multiscale perturbation methods, defaultable stocks, stochastic intensity of default, implied volatility skew,
Dominique Declerck - One of the best experts on this subject based on the ideXlab platform.
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Examiner performance in Calibration Exercises compared with field conditions when scoring caries experience
Clinical oral investigations, 2011Co-Authors: Jimoh Olubanwo Agbaje, Emmanuel Lesaffre, Timothy Mutsvari, Dominique DeclerckAbstract:The objective of this study was to verify how valid misclassification measurements obtained from a ‘pre-survey’ Calibration Exercise are by comparing them to validation scores obtained in ‘field’ conditions. Validation data were collected from the ‘Smile for Life’ project, an oral health intervention study in Flemish children. A Calibration Exercise was organized under ‘pre-survey’ conditions (32 age-matched children examined by eight examiners and the benchmark scorer). In addition, using a pre-determined sampling scheme blinded to the examiners, the benchmark scorer re-examined between six and 11 children screened by each of the dentists during the survey. Factors influencing sensitivity and specificity for scoring caries experience (CE) were investigated, including examiner, tooth type, surface type, tooth position (upper/lower jaw, right/left side) and validation setting (pre-survey versus field). In order to account for the clustering effect in the data, a generalized estimating equations approach was applied. Sensitivity scores were influenced not only by the Calibration setting (lower sensitivity in field conditions, p < 0.01), but also by examiner, tooth type (lower sensitivity in molar teeth, p < 0.01) and tooth position (lower sensitivity in the lower jaw, p < 0.01). Factors influencing specificity were examiner, tooth type (lower specificity in molar teeth, p < 0.01) and surface type (the occlusal surface with a lower specificity than other surfaces) but not the validation setting. Misclassification measurements for scoring CE are influenced by several factors. In this study, the validation setting influenced sensitivity, with lower scores obtained when measuring data validity in ‘field’ conditions. Results obtained in a pre-survey Calibration setting need to be interpreted with caution and do not (always) reflect the actual performance of examiners during the field work.
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Analysis of Caries Experience Taking Inter-observer Bias and Variability into Account
Journal of Dental Research, 2004Co-Authors: Emmanuel Lesaffre, Samuel M. Mwalili, Dominique DeclerckAbstract:In larger oral health surveys, clinical measurements are often obtained using several examiners. This raises the issue of inter-observer variability in measurement. Often, the problem is dealt with by reporting kappa values obtained in a Calibration Exercise. In the present study, the limitations of this statistic are presented, and an alternative, based on a Bayesian approach, is proposed. When the alternative approach was applied to caries experience data obtained in an oral health screening survey in seven-year-old Flemish children (Signal Tandmobiel® study), it could be ruled out that the observed geographic East-West gradient was due to bias induced by variability in scoring of the different dental examiners involved. The proposed method offers an opportunity to refine existing analytical approaches and is relevant to any health outcome study.
Inge Van Den Bijgaart - One of the best experts on this subject based on the ideXlab platform.
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The unilateral implementation of a sustainable growth path with directed technical change
European Economic Review, 2017Co-Authors: Inge Van Den BijgaartAbstract:We determine the conditions under which unilateral policies can implement global sustainable growth in a dynamic two-country directed technical change framework. Domestic climate policies alter the structure of domestic and foreign production and thereby innovation incentives across countries. Implementing sustainable growth requires redirecting global innovation to the nonpolluting sector. If most innovation takes place in the foreign country, policies must redirect foreign innovation by relocating clean production to the foreign country. A Calibration Exercise suggests that the US or EU alone are too small to implement sustainable growth. A coalition of Annex I countries that ratified the Kyoto protocol can implement sustainable growth, yet required tax rates are very high.
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The Unilateral Implementation of a Sustainable Growth Path with Directed Technical Change
SSRN Electronic Journal, 2015Co-Authors: Inge Van Den BijgaartAbstract:We determine the core characteristics of a climate coalition’s optimal policies in a dynamic two country directed technical change framework. Unilateral policies alter the structure of production and thereby innovation incentives across countries. Whenever feasible, optimal policies implement sustainable growth by directing global innovation to the nonpolluting sector. If nonparticipants drive global innovation, this requires policies relocating clean production to nonparticipants. A Calibration Exercise suggests that the US or EU alone are too small to implement sustainable growth. A coalition of Annex I countries that signed the Kyoto protocol can implement sustainable growth, yet required tax rates are very high.
