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346
The Determinants of Credit Spread Changes.
- Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract
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Cited by 422 (2 self)
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-quadratic regression σ(K) = a + bK + cK 2 , where K is the strike price. Our estimate of this slope, jump t , is defined via where F is the at-the money strike price, which equals the current futures price. We choose to look at the implied volatility at K = .9F because we do not want 6 to extrapolate the quadratic
1On the Identifiability of Overcomplete Dictionaries via the Minimisation Principle Underlying K-SVD
, 2013
"... This article gives theoretical insights into the performance of K-SVD, a dictionary learning algorithm that has gained significant popularity in practical applications. The particular question studied here is when a dictionary Φ ∈ Rd×K can be recovered as local minimum of the minimisation criterion ..."
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it is further demonstrated that given a finite number of training samples N, such that N / logN = O(K3d), except with probability O(N−Kd) there is a local minimum of the K-SVD criterion within distance O(KN−1/4) to the generating dictionary. Index Terms dictionary learning, sparse coding, K-SVD, finite sample
ftp ejde.math.swt.edu (login: ftp) RADIAL MINIMIZER OF A VARIANT OF THE P-GINZBURG-LANDAU FUNCTIONAL
"... Abstract. We study the asymptotic behavior of the radial minimizer of a variant of the p-Ginzburg-Landau functional when p ≥ n. The location of the zeros and the uniqueness of the radial minimizer are derived. We also prove the W 1,p convergence of the radial minimizer for this functional. 1. ..."
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Abstract. We study the asymptotic behavior of the radial minimizer of a variant of the p-Ginzburg-Landau functional when p ≥ n. The location of the zeros and the uniqueness of the radial minimizer are derived. We also prove the W 1,p convergence of the radial minimizer for this functional. 1.
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"... ftp ejde.math.swt.edu ftp ejde.math.unt.edu (login: ftp) Asymptotic behavior of regularizable minimizers of a Ginzburg-Landau functional in higher dimensions ∗ ..."
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ftp ejde.math.swt.edu ftp ejde.math.unt.edu (login: ftp) Asymptotic behavior of regularizable minimizers of a Ginzburg-Landau functional in higher dimensions ∗
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