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Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox

Sukhomlin, Nikolay; Santana Jiménez, Lisette Josefina - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 73-98

The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...

Persistent link: https://www.econbiz.de/10009957380

A region’s basic image as a measure of its attractiveness

Angelis, Vasilis; Dimaki, Katerina - In: International journal of economic sciences and applied … 4 (2011) 2, pp. 7-33

The growth or decline of a region depends on its power to pull and retain both business and the right blend of people to run them. This pulling power depends on what we call the "Image" of the region, a variable which expresses the region's present state of development and future prospects and...

Persistent link: https://www.econbiz.de/10009958078

Constructing enterprise input-output tables : a case study of New Zealand dairy products

Lenzen, Manfred; Lundie, Sven - In: Journal of economic structures : JES; the official … 1 (2012), pp. 1-15

We describe an efficient method for estimating enterprise input-output tables for cases when only information on marginal totals is available. In order to estimate the production structure of enterprises, we utilize engineering knowledge to construct a qualitative prior containing 1 wherever an...

Persistent link: https://www.econbiz.de/10010081824

Algunas observaciones acerca del uso de software en la estimación del modelo Half-Normal

Ortega Irizo, Francisco Javier; Gavilán Ruiz, José Manuel - In: Revista de métodos cuantitativos para la economía y … 11 (2011), pp. 3-16

Using the maximum likelihood method, in order to estimate Half-Normal stochastic frontier production models, entails several practical di±culties that, perhaps, have not been su±ciently emphasised. In employing FRONTIER software, we analyse the case in which the estimation obtained suggests...

Persistent link: https://www.econbiz.de/10009957389

Residual Grey Markov model for the developments of GDP, population and energy consumption in Iran

Mostafaei, Hamidreza; Kordnoori, Shaghayegh - In: Advances in management & applied economics 1 (2011) 2, pp. 93-105

Grey system theory can powerfully deal with incomplete and uncertain information. In this paper, we introduced an improved grey GM(1,1) model that integrates residual modification with Markov chain model. By this model, we improved the forecast accuracy of original grey forecast model and...

Persistent link: https://www.econbiz.de/10009958471

Measuring exchange rate fluctuations risk using the value-at-risk

Akhtekhane, Saeed Shaker; Mohammadi, Parastoo - In: Journal of applied finance & banking 2 (2012) 3, pp. 65-79

The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation...

Persistent link: https://www.econbiz.de/10010009131

Estimación de reservas en una compañía aseguradora : una aplicación en Excel del método Chain-Ladder y Bootstrap

Álvarez-Jareño, José Antonio; Coll-Serrano, Vicente - In: Revista de métodos cuantitativos para la economía y … 14 (2012), pp. 124-136

Insurance companies have to estimate reserves and provisions to cover the payment of either unreported claims or unsettled claims. In this paper, we apply the Chain-Ladder method to obtain a point estimate of reserves, and then we use the bootstrap technique to estimate the margin of error and...

Persistent link: https://www.econbiz.de/10010118388

Un modelo de consenso para problemas de toma de decisiones multicriterio en grupo mediante relaciones de preferencia intervalares difusas lingüísticas

Tapia García, Juan Miguel; Moral, María José del; … - In: Revista de métodos cuantitativos para la economía y … 14 (2012), pp. 36-53

In some circumstances a decision maker, expert, in a group decision making problem cannot express his/her preferences … consensus model for group decision making problems with interval fuzzy preference relations. This model is based on two … mechanism to guide experts in the consensus reaching process. -- group multicriteria decision making ; consensus ; linguistic …

Persistent link: https://www.econbiz.de/10010118391

The generalized hybrid averaging operator and its application in decision making

Merigó Lindahl, José M.; Casanovas Ramón, Montserrat - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 69-84

-HA) operator. We conclude the paper with an example of the new approach in a financial decision making problem. -- aggregation … operator ; OWA operator ; generalized mean ; weighted average ; decision making …

Persistent link: https://www.econbiz.de/10009957374

Una herramienta de análisis teórico en la teoría de la empresa bajo incertidumbre

Rodríguez-Puerta, Inmaculada; Sebastiá Costa, Francisco; … - In: Revista de métodos cuantitativos para la economía y … 11 (2011), pp. 33-40

In this paper we present a reformulation of a lemma due to Lippman and McCall - initially formulated a unique random variable - to be applied to the case of several random variables, and we illustrate its use in the theory of the firm under uncertainty. We have performed this on a recent model...

Persistent link: https://www.econbiz.de/10009957387