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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

Simulation-Based Solution of Stochastic Mathematical Programs with Complementarity Constraints : Sample-Path Analysis

Ilker Birbil, S.; Gürkan, G.; Listes, O.L. - Tilburg University, Center for Economic Research - 2004

used for modeling average or steady-state behavior of complex stochastic systems.Recently, simulation-based methods have …

Persistent link: https://www.econbiz.de/10011090408

Factor Sreening For Simulation With Multiple Responses : Sequential Bifurcation

Kleijnen, Jack P.C.; Shi, W.; Liu, Zhixue - Tilburg University, Center for Economic Research - 2013

a realistic simulation experiment. Sequential bifurcation (SB) is a sequential method that changes groups of inputs …-order polynomials are adequate approximations of the input/output functions implied by the simulation model; (ii) the signs of all first … either (heredity property). This paper examines SB for random simulation with multiple responses (outputs), called …

Persistent link: https://www.econbiz.de/10011090433

Ethical Issues in Engineering Models : Personal Reflections

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2010

engineering case-studies that may raise ethical questions; these case studies employ simulation models. Next, I present an …

Persistent link: https://www.econbiz.de/10011090533