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Prediction of stock price movement using continuous time models

Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191

Persistent link: https://www.econbiz.de/10011398992

Stochastic market modeling with Gaussian Quadratures : do rotations of Stroud's octahedron matter?

Artavia, Marco; Grethe, Harald; Zimmermann, Georg - In: Economic modelling 45 (2015), pp. 155-168

Persistent link: https://www.econbiz.de/10011334132

A low-bias simulation scheme for the Sabr Stochastic Volatility model

Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10009624504

Stochastic household forecasts by coherent random shares predictions

Keilman, Nico; Duin, Coen van - 2014 - This version 14 April 2014

We compute a stochastic household forecast for the Netherlands by the random share method. Time series of shares of persons in nine household positions, broken down by sex and five-year age group for the years 1996-2010 are modelled by means of the Hyndman-Booth-Yasmeen product-ratio variant of...

Persistent link: https://www.econbiz.de/10010354141

Mean-variance portfolio selection in presence of infrequently traded stocks

Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449

Persistent link: https://www.econbiz.de/10010356733

Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10010226453

Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10010233614

I-SMOOTH : iteratively smoothing mean-constrained and nonnegative piecewise-constant functions

Chen, Huifen; Schmeiser, Bruce - In: INFORMS journal on computing : JOC 25 (2013) 3, pp. 432-445

Persistent link: https://www.econbiz.de/10009784069

I-SMOOTH : iteratively smoothing mean-constrained and nonnegative piecewise-constant functions

Chen, Huifen; Schmeiser, Bruce - In: INFORMS journal on computing : JOC 25 (2013) 3, pp. 432-445

Persistent link: https://www.econbiz.de/10009784071

Real option valuation of power transmission investments by stochastic simulation

Pringles, Rolando; Olsina, Fernando; Garcés, Francisco - In: Energy economics 47 (2015), pp. 215-226

Persistent link: https://www.econbiz.de/10011527490