4,969 research outputs found
Las Vegas: Engineering Jury Feedback
A document containing the evaluation and feedback of the Team Las Vegas project house (Sinatra Living) by the Engineering Jury. The Engineering Jury is responsible for determining the winners of the Engineering category for the 2017 Solar Decathlon
Norms and spectral radii of linear fractional composition operators on the ball
We give a new proof that every linear fractional map of the unit ball induces
a bounded composition operator on the standard scale of Hilbert function spaces
on the ball, and obtain norm bounds analogous to the standard one-variable
estimates. We also show that Cowen's one-variable spectral radius formula
extends to these operators. The key observation underlying these results is
that every linear fractional map of the ball belongs to the Schur-Agler class.Comment: 15 page
Las Vegas: Market Potential Jury Feedback
A document containing the evaluation and feedback of the Team Las Vegas project house (Sinatra Living) by the Market Potential Jury. The MArket Potential Jury is responsible for determining the winners of the Market Potential category for the 2017 Solar Decathlon
Pricing caps with HJM models: the benefits of humped volatility
In this paper we compare different multifactor HJM models with humped volatility structures, to each other and to models with strictly decreasing volatility. All the models are estimated on Euribor and swap rates panel data. We develop the analysis in two steps: first we study the in-sample properties of the estimated models, then we study the pricing performance on caps. We find the humped volatility specification to greatly improve the model estimation and to provide sufficiently accurate cap prices, although the models has been calibrated on interest rates data and not on cap prices. Moreover we find the two factor humped volatility model to outperform the three factor models in pricing capsFinance, interest rates, humped volatility, Kalman filter, cap and floor pricing
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