Similar Search Results

A Bayesian approach to financial model calibration, uncertainty measures and optimal hedging

Gupta, Alok; Reisinger, Christoph - 2010

In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local...

Persistent link: https://www.econbiz.de/10009441418

Contributions to Intertemporal Models in Financial Economics

Gopalan, Ramu - 2008

Investors in financial markets face several restrictions apart from wealth constraints. The first attempt to understand these restrictions in a general competitive equilibrium framework can be traced back to Radner (1972). Here these restrictions are assumed to be given exogenously, as first...

Persistent link: https://www.econbiz.de/10009430929

Computing the Minkowski sum of prisms

Pallaschke, Diethard; Rosenmüller, Joachim - 2005

Within this paper we study the Minkowski sum of prisms ("Cephoids") in a finite dimensional vector space. We provide a representation of a finite sum of prisms in terms of inequalities.

Persistent link: https://www.econbiz.de/10009452488

Cephoids. Duality and reference vectors

Pallaschke, Diethard; Rosenmüller, Joachim - 2007

A cephoid is a Minkowski sum of finitely many prisms in R^n. We discuss the concept of duality for cephoids. Also, we show that the reference number uniquely defines a face. Based on these results, we exhibit two graphs on the outer surface of a cephoid. The first one corresponds to a maximal...

Persistent link: https://www.econbiz.de/10009452536

Infinite-horizon policy-gradient estimation

Baxter, J.; Bartlett, P. L. - 2001

Gradient-based approaches to direct policy search in reinforcement learning have received much recent attention as a means to solve problems of partial observability and to avoid some of the problems associated with policy degradation in value-function methods. In this paper we introduce GPOMDP,...

Persistent link: https://www.econbiz.de/10009438377

On parameter estimation in population models II: Multi-dimensional processes and transient dynamics

Ross, J. V.; Pagendam, D. E.; Pollett, P. K. - 2009

Recently, a computationally-efficient method was presented for calibrating a wide-class of Markov processes from discrete-sampled abundance data. The method was illustrated with respect to one-dimensional processes and required the assumption of stationarity. Here we demonstrate that the...

Persistent link: https://www.econbiz.de/10009448153

Mathematical modeling of diseases to inform health policy

Faissol, Daniel Mello - 2008

In this dissertation we present mathematical models that help answer health policy questions relating to HIV and Hepatitis C (HCV), and analyze bias in Markov models of disease progression. We begin by developing a Markov decision process model that examines the timing of testing and treatment...

Persistent link: https://www.econbiz.de/10009475891

Airline passengers' online search and purchase behaviors

Lee, Misuk - 2009

This paper studies airline customers' online search and purchase behaviors. Twofundamental aspects of online behavior are examined: (1) the link between searchbehavior and buying behavior and (2) the evolution of inter-temporal search andpurchase decisions of strategic buyers.In the first study,...

Persistent link: https://www.econbiz.de/10009475969

Essays in economic design : information, markets and dynamics

Hayashi, Takashi (contributor); … - 2011

This dissertation consists of three essays that apply both economic theory and econometric methods to understand design … amendments. The paper also contributes to generalize the methodology of semi-Markov decision theory by formulating a dynamic … provided for the Precautionary Principle that is different from the ones provided by expected utility theory. This essay serves …

Persistent link: https://www.econbiz.de/10009429384

Capital Ownership under Market Incompleteness: Does It Matter?

Carceles Poveda, Eva; Coen-Pirani, Daniele - 2005

In the macroeconomic literature, the implications of a context with household heterogeneity and incomplete financial markets have been mostly studied under the assumption that households own the physical capital and undertake the intertemporal investment decision. Further, firms rent capital and...

Persistent link: https://www.econbiz.de/10009440990

1
2
3
4
5
6
7
8
9
10
Next
Last