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Many common option pricing problems require numerical solution techniques. One standard tool is to solve a finite difference approximation to the instrument's fundamental partial differential equation (PDE), with appropriate boundary conditions. The approximation will converge to the true...
Persistent link: https://www.econbiz.de/10009455488
Many stochastic differential equations (SDEs) do not have readily available closed-form expressions for their transitional probability density functions (PDFs). As a result, a large number of competing estimation approaches have been proposed in order to obtain maximum-likelihood estimates of...
Persistent link: https://www.econbiz.de/10009455542
Compartmental models of dendrites are the most widely used tool for investigating their electrical behaviour. Traditional models assign a single potential to a compartment. This potential is associated with the membrane potential at the centre of the segment represented by the compartment. All...
Persistent link: https://www.econbiz.de/10009455585
The aim of this paper is to discuss the use of Bayesian methods in cost-effectiveness analysis (CEA) and the common ground between Bayesian and traditional frequentist approaches. A further aim is to explore the use of the net benefit statistic and its advantages over the incremental...
Persistent link: https://www.econbiz.de/10009455587
We propose a class of models in which the η-problem of supersymmetric hybrid inflation is resolved using a Heisenberg symmetry, where the associated modulus field is stabilized and made heavy with the help of the large vacuum energy during inflation without any fine-tuning. The proposed class...
Persistent link: https://www.econbiz.de/10009457931
The parameters of a finite mixture model cannot be consistently estimated when the data come from an embedded distribution with fewer components than that being fitted, because the distribution is represented by a subset in the parameter space, and not by a single point. Feng & McCulloch (1996)...
Persistent link: https://www.econbiz.de/10009458018
Empirical study of 25 years US Treasury bills data shows that even when the spot interest rate remains fixed, its volatility varies significantly over time. Constant-coefficient models cannot capture these changes as they give rise to time-homogeneous distributions. Maximum likelihood fitting of...
Persistent link: https://www.econbiz.de/10009458019
In most classical scheduling models, it is assumed that a job is dispatched to a customer immediately after its processing completes. In many practical situations, however, a set of delivery dates may be fixed before any jobs are processed. This is particularly relevant where delivery is an...
Persistent link: https://www.econbiz.de/10009458054
This paper investigates the optimal bidding strategy (supply function) for a generator offering power into a wholesale electricity market. The model has three characteristics: the uncertainties facing the generator are described by a single probability function, namely the market distribution...
Persistent link: https://www.econbiz.de/10009458057
In electricity wholesale markets, generators often sign long term contracts with purchasers of power in order to hedge risks. In this paper, we consider a market where demand is uncertain, but can be represented as a function of price together with a random shock. Each generator offers a smooth...
Persistent link: https://www.econbiz.de/10009458058