This paper studies the sequential sampling scheme as a solution to the problem of aliasing, where the sampling interval is restricted to a minimum allowable value. Sequential sampling is analyzed and it is proved that when the sampling ratio is an integral number, the associated spectral...

In this paper we develop a portfolio optimization strategy based on the extraction of option-implied distributions and the application of robust asset allocation. We compute the option-implied probability density functions of the constituents of the Euro Stoxx 50 Index. To obtain the...

In this paper, we propose a Vasicek-type of models for estimating portfolio level probability of default (PD). With these Vasicek models, asset correlation and long-run PD for a risk homogenous portfolio both have analytical solutions, longer external time series for market and macroeconomic...

We provide corrections for Emura and Konno (2010). We also numerically verify the corrected formulae. Appendix gives a real data used for numerical analysis.

Uncertainty and certainty of organizational-economic systems are their integral properties. Existence and development of any object in stochastic conditions is not obviously possible without presence of uncertain conditions and the certain factors determining the subsequent conditions of...

Monte Carlo (MC) simulation is a technique that provides approximate solutions to a broad range of mathematical problems. A drawback of the method is its high computational cost, especially in a high-dimensional setting. Estimating the Tail Value-at-Risk for large portfolios or pricing basket...

In this work, three distributions are proposed (Pareto, Lognormal and Dagum) to model the income of Mexican population, by using the Bayesian approach. It was found that the Dagum model was the one that best describes the data. The posterior distributions of the quantities of interest were...

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the...

Se establece un modelo que describe la movilidad interna y externa a nivel provincial de la población ecuatoriana, considerando su autoidentificación étnica (indígena y no indígena). El estudio utiliza las cadenas de Markov; para desarrollar el modelo estocástico, se han tomado como base...