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Results 1 - 10
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1,758
Secure Routing for Mobile Ad Hoc Networks
- MOBILE COMPUTING AND COMMUNICATIONS REVIEW
, 2002
"... For such self-organizing infrastructures as mobile ad hoc
networks , envisioned to operate in an open, collaborative,
and highly volatile environment, the importance of secu-
rity cannot be underrated. The provision of comprehen-
sive secure communication mandates that both route dis-
covery and dat ..."
Abstract
-
Cited by 599 (14 self)
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For such self-organizing infrastructures as mobile ad hoc
networks , envisioned to operate in an open, collaborative,
and highly volatile environment, the importance of secu-
rity cannot be underrated. The provision of comprehen-
sive secure communication mandates that both route dis-
covery
Testing Continuous-Time Models of the Spot Interest Rate
- Review of Financial Studies
, 1996
"... Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are rec ..."
Abstract
-
Cited by 310 (9 self)
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are recorded at discrete intervals. The principal source of rejection of existing models is the strong nonlinearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behaves like a random walk. The drift then mean-reverts strongly when far away from the mean. The volatility
oro.open.ac.uk NLSI Workshop Without Walls: Lunar Volatiles (Part 1)- Abstract Investigating the Distribution and Source(s) of Volatiles on the Lunar Surface
"... and other research outputs Investigating the distribution and source(s) of volatiles on the lunar surface Conference Item ..."
Abstract
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and other research outputs Investigating the distribution and source(s) of volatiles on the lunar surface Conference Item
FIXING EXCHANGE RATES: A Virtual Quest for Fundamentals
, 1995
"... Fixed exchange rates are less volatile than floating rates. But the volatility of macroeconomic variables such as money and output does not change very much across exchange rate regimes. This suggests that exchange rate models based only on macroeconomic fundamentals are unlikely to be very successf ..."
Abstract
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Cited by 262 (11 self)
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Fixed exchange rates are less volatile than floating rates. But the volatility of macroeconomic variables such as money and output does not change very much across exchange rate regimes. This suggests that exchange rate models based only on macroeconomic fundamentals are unlikely to be very
Towards a Theory of Volatility Trading
- Reprinted in Option Pricing, Interest Rates, and Risk Management, Musiella, Jouini, Cvitanic
, 1998
"... Introduction ffl Three methods have evolved for trading vol: 1. static positions in options eg. straddles 2. delta-hedged option positions 3. volatility swaps ffl The purpose of this talk is to explore the advantages and disadvantages of each approach. ffl I'll show how the first two methods ..."
Abstract
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Cited by 122 (15 self)
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methods can be combined to create the third. ffl I'll also show the link between some "exotic" volatility swaps and some recent work by Dupire[3] and Derman, Kani, and Kamal[2]. Part I Static Positions in Options Trading Vol via Static Positions in Options ffl The classic position
Complete Models with Stochastic Volatility
, 1996
"... The paper proposes an original class of models for the continuous time price process of a financial security with non-constant volatility. The idea is to define instantaneous volatility in terms of exponentially-weighted moments of historic log-price. The instantaneous volatility is therefore driven ..."
Abstract
-
Cited by 76 (4 self)
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The paper proposes an original class of models for the continuous time price process of a financial security with non-constant volatility. The idea is to define instantaneous volatility in terms of exponentially-weighted moments of historic log-price. The instantaneous volatility is therefore
Estimation of stochastic volatility models via Monte Carlo Maximum Likelihood
, 1998
"... This paper discusses the Monte Carlo maximum likelihood method of estimating stochastic volatility (SV) models. The basic SV model can be expressed as a linear state space model with log chi-square disturbances. The likelihood function can be approximated arbitrarily accurately by decomposing it int ..."
Abstract
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Cited by 114 (10 self)
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This paper discusses the Monte Carlo maximum likelihood method of estimating stochastic volatility (SV) models. The basic SV model can be expressed as a linear state space model with log chi-square disturbances. The likelihood function can be approximated arbitrarily accurately by decomposing
Asset pricing at the millennium
- Journal of Finance
"... This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor ~SDF! that prices all assets in the economy. The behavior ..."
Abstract
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Cited by 189 (0 self)
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. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, whereas patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts about interest rates, aggregate stock prices, and cross-sectional patterns in stock returns have
A theory of political transitions
- American Economic Review
, 2001
"... We develop a theory of political transitions inspired in part by the experiences of Western Europe and Latin America. Nondemocratic societies are controlled by a rich elite. The initially disenfranchised poor can contest power by threatening social unrest or revolution, and this may force the elite ..."
Abstract
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Cited by 184 (10 self)
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We develop a theory of political transitions inspired in part by the experiences of Western Europe and Latin America. Nondemocratic societies are controlled by a rich elite. The initially disenfranchised poor can contest power by threatening social unrest or revolution, and this may force the elite
Results 1 - 10
of
1,758
