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A vanilla Rao-Blackwellisation of Metropolis-Hastings algorithms

Douc, Randal; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2011

Casella and Robert (1996) presented a general Rao--Blackwellisation principle for accept-reject and Metropolis-Hastings schemes that leads to significant decreases in the variance of the resulting estimators, but at a high cost in computing and storage. Adopting a completely different...

Persistent link: https://www.econbiz.de/10010861432

Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods

Warin, Xavier; Bouchard, Bruno - Université Paris-Dauphine (Paris IX) - 2012

The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both technics can be exploded with improved complexity and...

Persistent link: https://www.econbiz.de/10010706399

A Finite-Dimensional Approximation for Pricing Moving Average Options

Bernhart, Marie; Tankov, Peter; Warin, Xavier - Université Paris-Dauphine (Paris IX) - 2011

We propose a method for pricing American options whose payoff depends on the moving average of the underlying asset price. The method uses a finite-dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The...

Persistent link: https://www.econbiz.de/10010707486

Pilotage d’une chaîne logistique par une approche de type MRP dans un environnement partiellement aléatoire

Sali, Mustapha; Giard, Vincent - Université Paris-Dauphine (Paris IX) - 2012

This article focuses on the monitoring of a supply chain dedicated to the mass production of strongly diversified products. In particular we are interested in the part of this chain that contributes to the production of a set of alternative modules assembled on a work station of one or several...

Persistent link: https://www.econbiz.de/10011073228

Bayesian Core: A practical approach to computational Bayesian statistics

Marin, Jean-Michel; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2007

This Bayesian modeling book is intended for practitioners and applied statisticians looking for a self-contained entry to computational Bayesian statistics. Focusing on standard statistical models and backed up by discussed real datasets available from the book website, it provides an...

Persistent link: https://www.econbiz.de/10010861445

La rémunération dans les fonds d’investissement : évaluation et traitement fiscal

Najar, Dorra - Université Paris-Dauphine (Paris IX) - 2012

Private equity funds are a very important actor of the financial market. Their performance often exceeds the market performance. To establish a private equity fund, there are some agreements between the capital providers (limited partners) and the fund managers (the general partners). This...

Persistent link: https://www.econbiz.de/10010705811

An Agent-based model of innovation emergence in organizations: renault and ford through the lens of evolutionism

Cartier, Manuel - Université Paris-Dauphine (Paris IX) - 2003

Persistent link: https://www.econbiz.de/10010706976

L’interdépendance dans l’adaptation de systèmes : implications théoriques et méthodologiques

Cartier, Manuel - Université Paris-Dauphine (Paris IX) - 2001

dependencies, emergence and co-evolution. Then, simulation, with complex adaptive system, is considered as an alternative …

Persistent link: https://www.econbiz.de/10010707857

A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data

Casella, George; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2011

In this note we attempt to trace the history and development of Markov chain Monte Carlo (MCMC) from its early inception in the late 1940's through its use today. We see how the earlier stages of the Monte Carlo (MC, not MCMC) research have led to the algorithms currently in use. More...

Persistent link: https://www.econbiz.de/10010708212

Intérêt de la simulation pour les sciences de gestion

Cartier, Manuel; Forgues, Bernard - Université Paris-Dauphine (Paris IX) - 2006

Si Dooley (2002, p. 829) considère que « la simulation a une popularité croissante en tant qu’approche méthodologique … ; Rouse et Boff, 2005 ; Brabazon et O’Neill, 2006). Par ce dossier, que la Revue française de gestion consacre à la simulation … simulation. Il s’agit en effet d’une méthode de recherche puissante et originale mais encore largement sous-exploitée. Le …

Persistent link: https://www.econbiz.de/10011072183