Frederic Sipiere

Independent

SCHOLARLY PAPERS

3

DOWNLOADS

49

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Present Value with Random Stopping Times

Number of pages: 9 Posted: 21 Nov 2014
Frederic Sipiere
Independent
Downloads 22 (644,523)
Citation 1

Abstract:

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present value, stopping time, risk premium

2.
Downloads 14 (703,302)

Abstract:

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Attrition Rates, Brownian Hitting-Time, CAPM, Exponential Distribution, Funding Value, Gamma Distribution, Geometric Distribution, Mean-Variance Approximation, Moment Generating Function, Prior Beliefs, Termination Premium, Time Truncation

3.

Estimation Using the Martingale Assumption

Number of pages: 12 Posted: 25 Nov 2014
Frederic Sipiere
Independent
Downloads 13 (711,254)

Abstract:

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martingale, state transition, rational expectation, behavioral economics, likelihood ratios

Other Papers (1)

Total Downloads: 0
1.

Kalman Filtering and Linear Regression Equivalence

Posted: 26 Nov 2014
Frederic Sipiere
Independent

Abstract:

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linear regression, Kalman filtering, best linear unbiased estimates