Relevant bibliographies by topics / Discount curves

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters
  4. Conference papers

Academic literature on the topic 'Discount curves'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Discount curves"

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Musau, Andrew. "Hyperbolic discount curves: a reply to Ainslie." Theory and Decision 76, no. 1 (2013): 9–30. http://dx.doi.org/10.1007/s11238-013-9361-8.

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DETTE, HOLGER, and DANIEL ZIGGEL. "DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES." International Journal of Theoretical and Applied Finance 11, no. 05 (2008): 529–44. http://dx.doi.org/10.1142/s0219024908004919.

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In this paper a new method for monotone estimation of discount curves is proposed. The main idea of this approach is a simple modification of the commonly used (unconstrained) McCulloch Spline. We construct an integrated density estimate from the predicted values of the discount curve. It can be shown that this statistic is an estimate of the inverse of the discount function and the final estimate can be obtained by a numerical inversion. The resulting procedure is simple and we have implemented it in Excel and VBA, respectively. The performance is illustrated by several examples, in which the
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Ainslie, George. "Pure hyperbolic discount curves predict “eyes open” self-control." Theory and Decision 73, no. 1 (2011): 3–34. http://dx.doi.org/10.1007/s11238-011-9272-5.

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Gáll, József, Gyula Pap, and Martien C. A. van Zuijlen. "Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet." Journal of Applied Mathematics 2004, no. 4 (2004): 293–309. http://dx.doi.org/10.1155/s1110757x04306133.

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Discrete-time forward interest rate curve models are studied, where the curves are driven by a random field. Under the assumption of no-arbitrage, the maximum likelihood estimator of the volatility parameter is given and its asymptotic behaviour is studied. First, the so-called martingale models are examined, but we will also deal with the general case, where we include the market price of risk in the discount factor.
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Caulfield, Jon P., David B. South, and Greg L. Somers. "The Price-Size Curve and Planting Density Decisions." Southern Journal of Applied Forestry 16, no. 1 (1992): 24–29. http://dx.doi.org/10.1093/sjaf/16.1.24.

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Abstract The planting density decision is influenced by the price-size relationship existing between the tree crop grown and the products sold. Several price-size curves are presented, and their impact on the optimal economic planting density is evaluated. Results indicate that when the price-size curve is upward sloping, fairly low planting densities may be appropriate. Higher densities apply when the price-size curve is flat. Sensitivity analysis is carried out to evaluate the impact of changing site index and discount rate on the density decision. South. J. Appl. For. 16(1):24-29.
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MERCURIO, FABIO. "MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING." International Journal of Theoretical and Applied Finance 13, no. 01 (2010): 113–37. http://dx.doi.org/10.1142/s021902491000570x.

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We introduce an extended LIBOR market model that is compatible with the current market practice of building different yield curves for different tenors and for discounting. The new paradigm is based on modeling the joint evolution of FRA rates and forward rates belonging to the discount curve. We will start by analyzing the basic lognormal case, then we will add stochastic volatility. The dynamics of FRA rates under different measures will be obtained and closed form formulas for caplets and swaptions derived in the lognormal and Heston (1993) cases.
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El Karoui, Nicole, Caroline Hillairet, and Mohamed Mrad. "Affine long term yield curves: An application of the Ramsey rule with progressive utility." Journal of Financial Engineering 01, no. 01 (2014): 1450003. http://dx.doi.org/10.1142/s2345768614500032.

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The purpose of this paper relies on the study of long-term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial, justifying the use of progressive utility. This paper studies, in a framework with affine factors, the yield curve given from the Ramsey rule. It first characterizes consistent progressive utility of investment and consumption, given the optimal wea
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Han, Xiao Dong, and Ting Luo. "Research on the Social Discount Rate for the Whole Life Cycle Engineering Cost Management." Advanced Materials Research 243-249 (May 2011): 6284–87. http://dx.doi.org/10.4028/www.scientific.net/amr.243-249.6284.

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The Whole Life Cycle Engineering Costing Management is an effective method to minimize the cost of an engineering project for the whole life, including the construction period, the operation period and the removal period. In this paper, we divided the Engineering Cost into three parts of labor costs, material costs and machinery costs. We have built a River-influx Model to calculate the social discount rate for the future, based on historical data and using MATLAB software to fit curves. We can then calculate the whole Life Cycle Engineering Cost for the future.
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Huang, Zheng-Ming, K. Fujihara, and S. Ramakrishna. "Bending Failure Characterisation of Laminated Beams with Braided Fabric Reinforcement." Advanced Composites Letters 12, no. 3 (2003): 096369350301200. http://dx.doi.org/10.1177/096369350301200301.

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An experimental procedure has been performed in this work to characterise failure behaviour of braided fabric reinforced composite laminates subjected to flexural load. The material system used was carbon/epoxy. The laminated beams were made using eight layers of diamond braid reinforcement. Two braiding angles, i.e., 5° and 15°, were applied. Six beams with laminate arrangements of [5/5/5/5/5/5/5/5], [15/15/15/15/15/15/15/15], [5/5/15/15/15/15/5/5], [15/15/5/5/5/5/15/15], [5/5/15/15/5/5/15/15], and [15/15/5/5/15/15/5/5] were loaded under 4-point bending to their ultimate failure, where the br
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Laparra, Valero, Sandra Jiménez, Gustavo Camps-Valls, and Jesús Malo. "Nonlinearities and Adaptation of Color Vision from Sequential Principal Curves Analysis." Neural Computation 24, no. 10 (2012): 2751–88. http://dx.doi.org/10.1162/neco_a_00342.

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Mechanisms of human color vision are characterized by two phenomenological aspects: the system is nonlinear and adaptive to changing environments. Conventional attempts to derive these features from statistics use separate arguments for each aspect. The few statistical explanations that do consider both phenomena simultaneously follow parametric formulations based on empirical models. Therefore, it may be argued that the behavior does not come directly from the color statistics but from the convenient functional form adopted. In addition, many times the whole statistical analysis is based on s
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Dissertations / Theses on the topic "Discount curves"

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Iebesh, Abdulhamid. "Interpolation of Yield curves." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48968.

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In this thesis we survey several interpolation methods that are used to construct the yield curves. We also review the bootstrapping and show that the bootstrap is closely connected to the interpolation in the case of bootstrapping yield curve. The most effort is dedicated, in this thesis, on the monotone convex method and on investigation of the difficulties to get accurate yield curves.
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Stavrianaki, Maria. "Term dependent assumptions : application and features of discount rate and increase curves." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15385.

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Mestrado em Actuarial Science<br>The purpose of this work is to present the methodology behind the application of discount and increase rates for UK pension valuations. It describes the valuation process of pension schemes in UK and specifically for Defined Benefit pensions which are pensions with a predetermined income at retirement. Specifically, it focuses on the methods of valuing today, liabilities that are due to be paid in the future regarding economic parameters. For many years the dominant approach to value the future liabilities was based on single rates but lately a more modern sop
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Pedroso, Reginaldo. "Comportamento de Escolha: Uma estimativa de probabilidades subjetivas de descrições nominais com recompensas hipotéticas." Pontifícia Universidade Católica de Goiás, 2008. http://localhost:8080/tede/handle/tede/1994.

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Made available in DSpace on 2016-07-27T14:21:38Z (GMT). No. of bitstreams: 1 Reginaldo Pedroso.pdf: 430869 bytes, checksum: a8bf7234236f302fa236cff6c8e57ee5 (MD5) Previous issue date: 2008-02-01<br>In most of the time, people tend to describe frequency or probability of events with words instead of numbers. The description of an event with words may lead to misunderstanding its actual probability. These descriptions have been used in several psychological instruments, but there are no systematic investigations on how different individuals may be affected by them. The aim of present work was
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Lidholm, Erik, and Benjamin Nudel. "Implications of Multiple Curve Construction in the Swedish Swap Market." Thesis, KTH, Entreprenörskap och Innovation, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146343.

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The global financial crisis of 2007 caused abrupt changes in the financial markets. Interest rates that were known to follow each other diverged. Furthermore, both regulation and an increased awareness of counterparty credit risks have fuelled a growth of collateralised contracts. As a consequence, pre-crisis swap pricing methods are no longer valid. In light of this, the purpose of this thesis is to apply a framework to the Swedish swap market that is able to consistently price interest rate and cross currency swaps in the presence of non-negligible cross currency basis spreads, and to invest
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Puértolas, Rubio Laura. "Le corps entravé. Étude des pratiques de sorcellerie de l’Anatolie ancienne d’après les textes cunéiformes hittites et louvites." Thesis, Sorbonne université, 2019. http://www.theses.fr/2019SORUL156.

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L’objectif de cette recherche est d’étudier les pratiques de sorcellerie de l’Anatolie hittite (IIe millénaire avant notre ère). Les sources disponibles sont des textes cunéiformes en langue hittite et louvite retrouvés dans les archives de leur capitale, Hattuša (actuelle Boğazkale) et datent des XVIe-XVe siècles jusqu’au XIIIe siècle av. J.-C. Par conséquent, cette recherche s’appuie sur une démarche philologique de traduction et d’édition des textes. Également, elle applique une marque théorique issue de l’anthropologie sociale pour essayer d’appréhender les différentes manières dont les Hi
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Huang, Shih-Chun, and 黃詩淳. "Comparison of Price and Potential Future Exposure of Callable CMS Swap Under Single Curve LMM Model and OIS Discount Multi-Curve LMM Model." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/s69gqa.

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碩士<br>國立政治大學<br>金融學系<br>107<br>Before the financial crisis in 2008, people have used to take LIBOR and LIBOR swap rates as proxies for risk-free rate when pricing derivatives. However, after the financial crisis burst out, many banks now consider the overnight indexed swap (OIS) should be the more appropriate risk-free rate when valuing derivatives. Substituting discount curve will not only have impact when pricing derivatives under specified interest rate model, it will meanwhile affect the potential future exposure result from counterparty. Hence, this paper demonstrated how should we constr
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Book chapters on the topic "Discount curves"

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Kenyon, Chris, and Roland Stamm. "Local Discount Curves." In Discounting, LIBOR, CVA and Funding. Palgrave Macmillan UK, 2012. http://dx.doi.org/10.1057/9781137268525_5.

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Sutherland, Andrew, and Jason Court. "Discount and Forward Interest Rate Curves." In The Front Office Manual. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137030696_5.

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Kenyon, Chris, and Roland Stamm. "Global Discount Curve." In Discounting, LIBOR, CVA and Funding. Palgrave Macmillan UK, 2012. http://dx.doi.org/10.1057/9781137268525_6.

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"The Discount Curve." In XVA: Credit, Funding and Capital Valuation Adjustments. John Wiley & Sons, Ltd, 2015. http://dx.doi.org/10.1002/9781119161233.ch8.

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"Separating Forward Curve from Discount Curve." In Interest Rate Swaps and Their Derivatives. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118267967.ch4.

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"Building the Libor Discount Curve." In Modelling Single-name and Multi-name Credit Derivatives. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201960.ch2.

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CROS, Isabelle. "Retrousser la diglossie." In Plurilinguisme et tensions identitaires. Editions des archives contemporaines, 2021. http://dx.doi.org/10.17184/eac.3797.

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Malgré des discours prônant la diversité de la francophonie - ou plutôt des francophonies -, l’enseignement scolaire comme universitaire entretient encore très largement la représentation d’un français qui se réduirait au français standard normé, tel qu’il a été imposé par la politique linguistique française. Cette recherche-formation, mise en oeuvre dans le cadre d’un cursus en didactique du FLE, cherche à déterminer en quoi une formation à la francophonie par la sociolinguistique peut participer à l'instauration d’une politique linguistique plus écologique. Au-delà des apports pédagogiques et didactiques, il apparaît cependant que l’effet sur ces futurs enseignants plurilingues est aussi celui d’une relégitimation non seulement des variations liées au français mais aussi de leur(s) propre(s) langue(s) minorée(s).
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Conference papers on the topic "Discount curves"

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Wenning, Thomas J., and J. Kelly Kissock. "Methodolgy for Preliminary Assessment of Regional Wind Energy Potential." In ASME 2009 3rd International Conference on Energy Sustainability collocated with the Heat Transfer and InterPACK09 Conferences. ASMEDC, 2009. http://dx.doi.org/10.1115/es2009-90469.

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This paper describes a methodology for a preliminary assessment of a region’s wind energy potential. The methodology begins by discussing four primary considerations for site location: wind resources, wildlife corridors, proximity to transmission grids, and required land area. Algorithms to calculate wind energy production using both hourly and annual average wind speed are presented. The hourly data method adjusts for differences in height, air density and terrain effects between the measurement site and the proposed turbine site. The annual average wind data method adjusts for these factors,
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Scott, C. S., and M. J. Kozluk. "A Finite Element Analysis of the Residual Stresses Incurred During Bending of Pipes." In ASME 2002 Pressure Vessels and Piping Conference. ASMEDC, 2002. http://dx.doi.org/10.1115/pvp2002-1289.

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This work illustrates the potential for finite element methods to be used in support of metal fabrication processes. The focus is an analysis of the residual stresses incurred during cold bending of small diameter pipes. The pipe was modeled using 3D constant strain elements. The mandrels used to support the pipe and apply the necessary bend forces were modeled using 2D rigid surfaces. Contact surfaces were defined on the outside of the pipe and the inside of the mandrels. The fabrication process was simulated by programming the nodes of one of the mandrels with prescribed velocities. The fini
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Gilardone, Carlos R., Carlos A. Canel, Luisa Albuquerque, Manuel I. Ruiz Benitez, and Ariel Cabello. "Vaca Muerta's Productivity and Economic Performance. 7 Years in Review." In SPE Annual Technical Conference and Exhibition. SPE, 2021. http://dx.doi.org/10.2118/206344-ms.

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Abstract Vaca Muerta is an unconventional reservoir located in Argentina. Since 2014, 397 horizontal wells have been drilled in this formation. The scope of this paper is to summarize the evolution of the productivity and the economics of these wells from 2014 until 2020. The methodology consisted in analyzing the results of the wells grouped by drilling campaign extracting the main parameters such as peak oil rate, cumulative oil at 365 days, number of fracture stages and length of the drain. After the extraction of these parameters we calculated each well's EUR using a modified hyperbolic fu
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