4 papers
Time-Dependent Pseudo for Assessing Predictive Performance in Competing Risks Data
Zian Zhuang, Wen Su, Eric Kawaguchi +1
Evaluating and validating the performance of prediction models is a fundamental task in statistics, machine learning, and their diverse applications. However, developing robust per…
Pricing Exchange Option Based on Copulas by MCMC Algorithm
Wen Su
This paper focus on pricing exchange option based on copulas by MCMC algorithm. Initially, we introduce the methodologies concerned about risk-netural pricing, copulas and MCMC alg…
Volatility of S&P500: Estimation and Evaluation
Wen Su
In an era when derivatives is getting popular, risk management has gradually become the core content of modern finance. In order to study how to accurately estimate the volatility…
Default Distances Based on the CEV-KMV Model
Wen Su
This paper presents a new method to assess default risk based on applying the CEV process to the KMV model. We find that the volatility of the firm asset value may not be a constan…