We present “Smart Monte Carlo” or SMC, improving the efficiency of Monte Carlo (MC) simulations. SMC has two “stages”. The first stage, run adaptively for each deal, produces equivalent results to standard MC simulation using fewer calls to the time-consuming pricing functions. The...

We show that VAR calculation speedup of an order of magnitude can be obtained using Smart Monte Carlo with a sophisticated interpolator. As a byproduct, we give some encouraging numerical results for evaluating N-dimensional Gaussian integrals without doing any integrals at all

The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form....

The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form....

Longevity Risk becomes an important challenge in the recent Year because of the decreases in the mortality rates and the rising in the life expectancy through the decades. In this article, we propose a consistent multi-factor dynamics affine mortality model to the longevity risk modeling, we...

In this paper, we investigate (and extend) Ripley's circumference method to correct bias of density estimation of edges (or frontiers) of regions. The idea of the method was theoretical and difficult to implement. We provide a simple technique - based of properties of Gaussian kernels - to...

Expectiles (EVaR) are a one-parameter family of coherent risk measures that have been recently suggested as an alternative to quantiles (VaR) and to Expected Shortfall (ES). In this work we review their known properties, we discuss their financial meaning, we compare them with VaR and ES and we...

This paper proposes an approach to proving nonparametric identification for distributions of bidders’ values in asymmetric second-price auctions. I consider the case when bidders have independent private values and the only available data pertain to the winner’s identity and the transaction...

Serbian. U uslovima izolacije (sankcije međunarodne zajednice) standardni instrumenti ekonomske politike usmereni na uspostavljanje spoljnoekonomske ravnoteže potisnuti su instrumentima monetarne politike, kojima se makroekonomska (ne)ravnoteža autonomno generiše u okviru zatvorenog sistema....

The thesis of this paper is mathematical formulation of the laws of Economics with application of the principle of Least Action of classical mechanics. This paper is proposed as the rigorous mathematical approach to Economics provided by the fundamental principle of the physical science – the...