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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets

Persistent link: https://www.econbiz.de/10012053890

Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011

This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes

Persistent link: https://www.econbiz.de/10012053891

Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models

Repplinger, Detlef (contributor); Fandel, G. (contributor); … - 2008

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...

Persistent link: https://www.econbiz.de/10013521005

Performance Analysis of Closed Queueing Networks

Lagershausen, Svenja - 2013

1. Introduction -- 2. Closed Queueing Networks -- 3. Literature Review -- 4. Decomposition Approach -- 5. Markov-chain Approach -- 6. Distribution of the Time between Processing Starts -- 7. Conclusion

Persistent link: https://www.econbiz.de/10014552591

Recent Advances in Estimating Nonlinear Models : With Applications in Economics and Finance

Ma, Jun - 2014

competing nonlinear models. Most economic theory suggests that the economic relationships among economic variables in the real …

Persistent link: https://www.econbiz.de/10014016985

Finanzmarktsimulation mit Multiagentensystemen : Entwicklung eines methodischen Frameworks

Heun, Michael (contributor) - 2008

Die Theorie der Finanzmärkte befindet sich in einem Paradigmenwechsel. Da klassische Ansätze zur Analyse von …

Persistent link: https://www.econbiz.de/10013516823

Finanzderivate mit MATLAB® : Mathematische Modellierung und numerische Simulation

Günther, Michael - 2010 - 2., überarbeitete und erweiterte Auflage

In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre...

Persistent link: https://www.econbiz.de/10013517186

Handbook of Simulation Optimization

Fu, Michael - 2015

research advances in theory and methodology. Leading contributors cover such topics as discrete optimization via simulation …The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization …, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent …

Persistent link: https://www.econbiz.de/10012401970

Simulation-Based Optimization : Parametric Optimization Techniques and Reinforcement Learning

Gosavi, Abhijit - 2015 - 2nd ed. 2015

Simulation-Based Optimization: Parametric Optimization Techniques and Reinforcement Learning introduces the evolving … area of static and dynamic simulation-based optimization. Covered in detail are model-free optimization techniques … coverage, via step-by-step recipes, of powerful new algorithms for static simulation optimization, including simultaneous …

Persistent link: https://www.econbiz.de/10012402233

Textbook of Computable General Equilibrium Modelling : Programming and Simulations

Hosoe, Nobuhiro; Gasawa, Kenji; Hashimoto, Hideo - 2010

The book provides a comprehensive A-to-Z guide for computable general equilibrium (CGE) models, which can analyze various economic issues empirically. CGE Models been widely used for investigating the impacts of economic integration, eco-taxes on environmental problems, regulatory reforms,...

Persistent link: https://www.econbiz.de/10012053861