The main objective of this thesis is to develop novel Monte Carlo techniques with emphasis on various applications in finance and economics, particularly in the fields of risk management and asset returns modeling. New stochastic algorithms are developed for rare-event probability estimation,...

This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this...

In recent years state space models, particularly the linear Gaussian version, have become the standard framework for analyzing macro-economic and financial data. However, many theoretically motivated models imply non-linear or non-Gaussian specifications or both. Existing methods for estimating...

This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this...

We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...

In recent years state space models, particularly the linear Gaussian version, have become the standard framework for analyzing macro-economic and financial data. However, many theoretically motivated models imply non-linear or non-Gaussian specifications – or both. Existing methods for...

The development of management science (MS) in China has been a long and dynamic journey involving many unexpected events. Beginning in 1955 and continuing through the present, the revolution roughly consisted of four stages. The first stage (1955-1965) was characterized by large-scale campaigns....