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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
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
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
competing nonlinear models. Most economic theory suggests that the economic relationships among economic variables in the real …
Persistent link: https://www.econbiz.de/10014016985
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
-of-chapter exercises. In addition to the general statistical methods, the book also includes Monte Carlo simulation and optimization. The … Statistical Analysis of Data -- Modeling and Simulation: Part I -- Modeling and Simulation: Part II -- Solver, Scenarios, and Goal …
Persistent link: https://www.econbiz.de/10012396101
This book contains the refereed proceedings of the International Conference on Modeling and Simulation in Engineering … University Jaume I. This edition of the conference paid special attention to modeling and simulation in diverse fields of … topical sections on modeling and simulation in finance and accounting; modeling and simulation in business management and …
Persistent link: https://www.econbiz.de/10012397873
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 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
Operationelle Risiken betreffen nahezu jede Geschäftstätigkeit von Banken. Sie verfügen über ein hohes Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur Quantifizierung operationeller Risiken und der...
Persistent link: https://www.econbiz.de/10014016438