Valuations under Funding Costs, Counterparty Risk and Collateralization.

June 11, 2010 by · Leave a Comment
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http://www.christian-fries.de/finmath/discounting/Discounting.pdf

Non-Robust Bayesian Estimation of Negative Binomial Distribution

June 3, 2010 by · Leave a Comment
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Basic paper on estimating parameters of a negative binomial distribution.

http://www.casact.org/pubs/forum/99wforum/wf99377.pdf

Sornette’s paper on Bubbles

June 3, 2010 by · Leave a Comment
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Paper on testing data series for greater than exponential growth; since that cannot continue it is a “bubble test.”

The Financial Bubble Experiment:
Advanced Diagnostics and Forecasts of Bubble Terminations
Volume I

http://arxiv.org/ftp/arxiv/papers/0911/0911.0454.pdf