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校准期权定价模型的设定检验AI 解读

In spite of the popularity of model calibration in finance, empirical researchers have put more emphasis on model estimation than on the equally important goodness-of-fit problem. This is due partly to the ignorance of modelers, and more to the ability of existing statistical tests to detect specification errors. In practice, models are often calibrated by minimizing a loss function of the differences between the modeled and actual observations. Under this approach, it is…

用半参数惩罚样条估计公司债利率期限结构AI 解读

This article provides a new methodology for estimating the term structure of corporate debt using a semiparametric penalized spline model. The method is applied to a case study of AT&T bonds. Typically, very few data are available on individual corporate bond prices, too little to find a nonparametric estimate of term structure from these bonds alone. This problem is solved by “borrowing strength” from Treasury bond data. More specifically, we combine a nonparametric model…

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