Results 1 - 10 of 2,870

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - 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 - Cited by 422 (2 self) - Add to MetaCart
. Thus, we examine how changes in credit spreads respond to proxies for both changes in the probability of future default and for changes in the recovery rate. Separately, recent empirical studies find that the corporate bond market tends to have relatively high transactions costs and low volume. 1

Prior Probabilities

by Edwin T. Jaynes - IEEE Transactions on Systems Science and Cybernetics , 1968
"... e case of location and scale parameters, rate constants, and in Bernoulli trials with unknown probability of success. In realistic problems, both the transformation group analysis and the principle of maximum entropy are needed to determine the prior. The distributions thus found are uniquely determ ..."
Abstract - Cited by 260 (4 self) - Add to MetaCart
e case of location and scale parameters, rate constants, and in Bernoulli trials with unknown probability of success. In realistic problems, both the transformation group analysis and the principle of maximum entropy are needed to determine the prior. The distributions thus found are uniquely

Voice puppetry

by Matthew Brand , 1999
"... Frames from a voice-driven animation, computed from a single baby picture and an adult model of facial control. Note the changes in upper facial expression. See figures 5, 6 and 7 for more examples of predicted mouth shapes. We introduce a method for predicting a control signal from another related ..."
Abstract - Cited by 298 (0 self) - Add to MetaCart
is produced by using audio to drive the model, which induces a probability distribution over the manifold of possible facial motions. We present a lineartime closed-form solution for the most probable trajectory over this manifold. The output is a series of facial control parameters, suitable for driving many

The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets

by Christopher S. Jones , 2000
"... This paper proposes and estimates a more general parametric stochastic variance model of equity index returns than has been previously considered using data from both underlying and options markets. The parameters of the model under both the objective and riskneutral measures are estimated simultane ..."
Abstract - Cited by 159 (3 self) - Add to MetaCart
variance that results generates realistic crash probabilities and dynamics and causes returns to display values of skewness and kurtosis much more consistent with their sample values. While the model dramatically improves the fit of options prices relative to the square root process, it falls short

IDENTIFICATION OF GENETIC NETWORKS FROM A SMALL NUMBER OF GENE EXPRESSION PATTERNS UNDER THE BOOLEAN NETWORK MODEL

by Tatsuya Akutsu, Satoru Miyano, Satoru Kuhara - PACIFIC SYMPOSIUM ON BIOCOMPUTING 4:17-28 (1999) , 1999
"... ... for inferring genetic network architectures from state transition tables which correspond to time series of gene expression patterns, using the Boolean network model. Their results of computational experiments suggested that a small number of state transition (INPUT/OUTPUT) pairs are sufficient ..."
Abstract - Cited by 254 (17 self) - Add to MetaCart
constant, only O(log n) state transition pairs (from 2n pairs) are necessary and sufficient to identify the original Boolean network of n nodes correctly with high probability. We made computational experiments in order to expose the constant factor involved in O(log n) notation. The computational results

Propagation of Probabilities, Means and Variances in Mixed Graphical Association Models

by Steffen L. Lauritzen, Steffen L. Lauritzen - Journal of the American Statistical Association , 1992
"... A scheme is presented for modelling and local computation of exact probabilities, means and variances for mixed qualitative and quantitative variables. The models assume that the conditional distribution of the quantitative variables, given the qualitative, is multivariate Gaussian. The computationa ..."
Abstract - Cited by 172 (2 self) - Add to MetaCart
A scheme is presented for modelling and local computation of exact probabilities, means and variances for mixed qualitative and quantitative variables. The models assume that the conditional distribution of the quantitative variables, given the qualitative, is multivariate Gaussian

Recovering Risk Aversion from Option Prices and Realized Returns. Manuscript

by Jens Carsten Jackwerth , 1998
"... A relationship exists between aggregate risk-neutral and subjective probability distributions and risk aversion functions. Using a variation of the method developed by Jackwerth and Rubinstein (1996), we estimate risk-neutral probabilities reliably from option prices. Subjective probabilities are es ..."
Abstract - Cited by 202 (9 self) - Add to MetaCart
A relationship exists between aggregate risk-neutral and subjective probability distributions and risk aversion functions. Using a variation of the method developed by Jackwerth and Rubinstein (1996), we estimate risk-neutral probabilities reliably from option prices. Subjective probabilities

Probabilities and surprises: A realist

by Alison Sealey
"... approach to identifying linguistic and social patterns, with reference to an oral history corpus ..."
Abstract - Add to MetaCart
approach to identifying linguistic and social patterns, with reference to an oral history corpus

Crashes as Critical Points

by Anders Johansen, Olivier Ledoit, Didier Sornette - International Journal of Theoretical and Applied Finance , 2000
"... We study a rational expectation model of bubbles and crashes. The model has two components: (1) our key assumption is that a crash may be caused by local self-reinforcing imitation between noise traders. If the tendency for noise traders to imitate their nearest neighbors increases up to a certain p ..."
Abstract - Cited by 62 (24 self) - Add to MetaCart
point called the “critical ” point, all noise traders may place the same order (sell) at the same time, thus causing a crash. The interplay between the progressive strengthening of imitation and the ubiquity of noise is characterized by the hazard rate, i.e. the probability per unit time that the crash

Unconditional security of quantum key distribution over arbitrarily long distances

by Hoi-kwong Lo, H. F. Chau - Science , 1999
"... Quantum key distribution is widely thought to offer unconditional security in communication between two users. Unfortunately, a widely accepted proof of its security in the presence of source, device and channel noises has been missing. This long-standing problem is solved here by showing that, give ..."
Abstract - Cited by 172 (20 self) - Add to MetaCart
, given fault-tolerant quantum computers, quantum key distribution over an arbitrarily long distance of a realistic noisy channel can be made unconditionally secure. The proof is reduced from a noisy quantum scheme to a noiseless quantum scheme and then from a noiseless quantum scheme to a noiseless
Results 1 - 10 of 2,870