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An Intensity-Based Approach for Modeling Hedge Fung Equity
Marcos ESCOBAR,Tim FRIEDERICH,Mikhail KRAYZLER,Luis SECO,Rudi ZAGST 인하대학교 정석물류통상연구원 2009 인하대학교 정석물류통상연구원 학술대회 Vol.2009 No.10
This paper analyzes an intensity-based approach for modeling hedge fund(HF) equity. We use the Cox-Ingersoll-Ross(CIR) process to describe the intensity of the HF"s default process. The intensity is purposely linked to the assets of the HF and consequently is also used to explain the equity. We examine two different approaches to link assets and intensity and derive closed-form expressions for the firms" equity in both models. We use the Kalman filter to estimate the parameters of the unobservable intensity process. The applicability of the presented methods is demonstrated on real data working with historical series from Merrill Lynch.