We investigate the robustness of existing methods to calibrate the Cheyette interest rate model to at-the-money swaption, caps and floors. Existing algorithms may fail, because they suffer from numerical instability of derivatives. Therefore, we apply derivative-free techniques and find that...

The paper presents a detailed documentation of the underlying concepts and methods of the Spatial Agent-based Competition Model (SpAbCoM). For instance, SpAbCoM is used to study firms' choices of spatial pricing policy (GRAUBNER et al., 2011a) or pricing and location under a framework of...

This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and...

The way in which individual expectations shape aggregate macroeconomic variables is crucial for the transmission and effectiveness of monetary policy. We study the individual expectations formation process and the interaction with monetary policy, within a standard New Keynesian model, by means...

We develop an evolutionary algorithm to estimate Threshold Vector Error Correction models (TVECM) with more than two cointegrated variables. Since disregarding a threshold in cointegration models renders standard approaches to the estimation of the cointegration vectors inefficient, TVECM...

The procurement of transportation services via large-scale combinatorial auctions involves a couple of complex decisions whose outcome highly influences the performance of the tender process. This paper examines the shipper's task of selecting a subset of the submitted bids which efficiently...

This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and...

Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified...

In der vorliegenden Arbeit wurden zunächst die Grundlagen zu Evolutionären Algorithmen geschaffen. Es wurdendie zugrunde liegenden biologischen Prinzipien erläutert sowie die Algorithmen ES und GA vorgestellt undabgegrenzt. Eine bibliometrische Analyse identifizierte die zentralen...

The optimal communication spanning tree (OCST) problemis a well known NP-hard combinatorial optimizationproblem which seeks a spanning tree that satisfies all givencommunication requirements for minimal total costs. Ithas been shown that optimal solutions of OCST problemsare biased towards the...