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Computational finance
Stentoft, Lars - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012611375
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Cost Sharing under Uncertainty: An Algorithmic Approach to Cooperative Interval-Valued Games
Kimms, Alf; Drechsel, Julia - In: BuR - Business Research 2 (2009) 2, pp. 206-213
Recently, Branzei, Dimitrov, and Tijs (2003) introduced cooperative interval-valued games. Among other insights, the notion of an interval core has been coined and proposed as a solution concept for interval-valued games. In this paper we will present a general mathematical programming algorithm...
Persistent link: https://www.econbiz.de/10010421344
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Restatement of the I-O coefficient stability problem
Dobrescu, Emilian - In: Journal of Economic Structures 2 (2013), pp. 1-67
The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients is...
Persistent link: https://www.econbiz.de/10011551997
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Impact of democratic/non-democratic regimes on foreign direct investment in Pakistan: Pre and post September 11, 2001 scenarios
Nawaz, Tahir; Khan, Masood Amjad; Shah, Muhammad Akbar Ali - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 67-82
observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant … volatility. One interesting finding of this study is that the impact of Non-Democratic regime before September, 11 scenario is …
Persistent link: https://www.econbiz.de/10011938300
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The nested Sinkhorn divergence to learn the nested distance
Pichler, Alois; Weinhardt, Michael - In: Computational Management Science 19 (2021) 2, pp. 269-293
The nested distance builds on the Wasserstein distance to quantify the difference of stochastic processes, including also the evolution of information modelled by filtrations. The Sinkhorn divergence is a relaxation of the Wasserstein distance, which can be computed considerably faster. For this...
Persistent link: https://www.econbiz.de/10014497512
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A note on overrelaxation in the Sinkhorn algorithm
Lehmann, Tobias; von Renesse, Max-K.; Sambale, Alexander; … - In: Optimization Letters 16 (2021) 8, pp. 2209-2220
We derive an a priori parameter range for overrelaxation of the Sinkhorn algorithm, which guarantees global convergence and a strictly faster asymptotic local convergence. Guided by the spectral analysis of the linearized problem we pursue a zero cost procedure to choose a near optimal...
Persistent link: https://www.econbiz.de/10014501397
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Overnight Index Rate: Model, calibration and simulation
Yashkir, Olga; Yashkir, Yuri - In: Cogent Economics & Finance 2 (2014) 1, pp. 2-11
central peak and the wide fat-tailed component. The calibration algorithm for the model is developed and investigated using …
Persistent link: https://www.econbiz.de/10011559125
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Many inspections are manipulable
Shmaya, Eran - In: Theoretical Economics 3 (2008) 3, pp. 367-382
A self-proclaimed expert uses past observations of a stochastic process to make probabilistic predictions about the process. An inspector applies a test function to the infinite sequence of predictions provided by the expert and the observed realization of the process in order to check the...
Persistent link: https://www.econbiz.de/10011599407
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An Efficient Lattice Algorithm for the LIBOR Market Model
Xiao, Tim - In: Journal of Derivatives 19 (2011) 1, pp. 25-40
losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement. Adding this model …
Persistent link: https://www.econbiz.de/10012022036
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Implied and local volatility surfaces for South African index and foreign exchange options
Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 43-82
volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE's derivative exchanges are valued by local volatility models. These models needs a local …
Persistent link: https://www.econbiz.de/10011843252