This double-issue contains 11 papers invited for the first special issue on “Computational methods for Russian economic and financial modelling”. It was an attempt to explore and bring together practical, state-of-the-art applications of computational techniques with a particular focus on...

The paper deals with a mathematical model of a surveillance system based on a net of sensors. The signals acquired by each node of the net are Markovian process, have two different transition probabilities, which depends on the presence or absence of a intruder nearby. The detection of the...

This paper aims to study the sensitivity of Bayes estimate of location parameter of an Inverse Gaussian (IG) distribution to misspecification in the prior distribution. It also studies the effect of misspecification of the prior distribution on two-sided predictive limits for a future...

Bayesian rational prior equilibrium requires agent to make rational statistical predictions and decisions, starting with first order non informative prior and keeps updating with statistical decision theoretic and game theoretic reasoning until a convergence of conjectures is achieved. The main...

In this paper we derive the Bayes estimates of the location parameter of normal and lognormal distribution under the hierarchical priors for the vector parameter, . The ML-II ε-contaminated class of priors are employed at the second stage of hierarchical priors to examine the robustness of...

In this paper we employ ML-II ε-contaminated class of priors to study the sensitivity of Bayes Reliability measures for an Inverse Gaussian (IG) distribution and Lognormal (LN) distribution to misspecification in the prior. The numerical illustrations suggest that reliability measures of both...

The development of probability theory together with the Bayesian approach in the three last centuries is caused by two factors: the variability of the physical phenomena and partial ignorance about them. As now it is standard to believe [Dubois, 2007], the nature of these key factors is so...

Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the unconditional volatility of the original asset is increasing during...

The excess liquidity of commercial banks is very often mentioned in the CEMAC as one of the limits of monetary policy implementation by BEAC. In this paper, we tried to address excess reserves in the CEMAC banking system looking from the point of view of commercial banks. Indeed, commercial...

The aim of this paper is to simulate profit expectations as an emergent property using an agent based model. The paper builds upon adaptive expectations, interactive expectations and small world networks, combining them into a single adaptive interactive profit expectations model (AIE)....