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Posterior analysis of stochastic volatility models with flexible tails

Steel, M.F.J. - Tilburg University, Center for Economic Research - 1995

Persistent link: https://www.econbiz.de/10011090520

Pricing High-Dimensional American Options Using Local Consistency Conditions

Schumacher, Johannes M.; Berridge, S.J. - Tilburg University, Center for Economic Research - 2004

We investigate a new method for pricing high-dimensional American options. The method is of finite difference type but is also related to Monte Carlo techniques in that it involves a representative sampling of the underlying variables.An approximating Markov chain is built using this sampling...

Persistent link: https://www.econbiz.de/10011091303

Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options

Schumacher, Johannes M.; Berridge, S.J. - Tilburg University, Center for Economic Research - 2004

We propose a method for pricing high-dimensional American options on an irregular grid; the method involves using quadratic functions to approximate the local effect of the Black-Scholes operator.Once such an approximation is known, one can solve the pricing problem by time stepping in an...

Persistent link: https://www.econbiz.de/10011091409

Hospital efficiency analysis through individual effects : A Bayesian approach

Koop, G.; Osiewalski, J.; Steel, M.F.J. - Tilburg University, Center for Economic Research - 1994

Persistent link: https://www.econbiz.de/10011091416

An Irregular Grid Approach for Pricing High-Dimensional American Options

Schumacher, Johannes M.; Berridge, S.J. - Tilburg University, Center for Economic Research - 2004

We propose and test a new method for pricing American options in a high-dimensional setting.The method is centred around the approximation of the associated complementarity problem on an irregular grid.We approximate the partial differential operator on this grid by appealing to the SDE...

Persistent link: https://www.econbiz.de/10011091486

Extending dynamic segmentation with lead generation : A latent class Markov analysis of financial product portfolios

Paas, L.J.; Bijmolt, T.H.A.; Vermunt, J.K. - Tilburg University, Center for Economic Research - 2004

A recent development in marketing research concerns the incorporation of dynamics in consumer segmentation.This paper extends the latent class Markov model, a suitable technique for conducting dynamic segmentation, in order to facilitate lead generation.We demonstrate the application of the...

Persistent link: https://www.econbiz.de/10011091936

Approximate Distributions of Clusters of Extremes

Segers, J.J.J. - Tilburg University, Center for Economic Research - 2003

In a stationary sequence of random variables, high-threshold exceedances may cluster together.Two approximations of such a clusters distribution are established.These justify and generalize sampling schemes for clusters of extremes already known for Markov chains.

Persistent link: https://www.econbiz.de/10011092476

Global Optimization for Black-box Simulation via Sequential Intrinsic Kriging

Kleijnen, Jack P.C.; Mehdad, E. - Tilburg University, Center for Economic Research - 2014

. As a novel metamodel we introduce intrinsic Kriging, for either deterministic or random simulation. For deterministic … simulation we study the famous `efficient global optimization' (EGO) method, substituting intrinsic Kriging for universal Kriging …. For random simulation we investigate a state-of-the-art two-stage algorithm accounting for heteroscedastic variances of …

Persistent link: https://www.econbiz.de/10011144433

Response Surface Methodology

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2014

Abstract: This chapter first summarizes Response Surface Methodology (RSM), which started with Box and Wilson’s article in 1951 on RSM for real, non-simulated systems. RSM is a stepwise heuristic that uses first-order polynomials to approximate the response surface locally. An estimated...

Persistent link: https://www.econbiz.de/10011092681

Sensitivity Analysis of Simulation Models

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2009

This contribution presents an overview of sensitivity analysis of simulation models, including the estimation of … also reviews factor screening for simulation models with very many factors, focusing on the so-called "sequential … aim at the optimization of the simulated system, allowing multiple random simulation outputs. …

Persistent link: https://www.econbiz.de/10011092780