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Designing large value payment systems : an agent-based approach
Markose, Sheri M.; Alentorn, Amadeo; Millard, Stephen … - 2011
Persistent link: https://www.econbiz.de/10009619377
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Designing large value payment systems: an agent based approach
Yang, Jing; Markose, Sheri; Alentorn, Amadeo - Society for Computational Economics - SCE - 2005
In this paper, we report on the main building blocks of an ongoing project to develop a computational agent-based simulator for a generic real-time large-value interbank payment system with a central processor that can implement different rules for payment settlement. The main types of payment...
Persistent link: https://www.econbiz.de/10005132671
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Removing maturity effects of implied risk neutral densities and related statistics
Alentorn, Amadeo (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003321618
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A smart market for passenger road transport (SMPRT) congestion : an application of computational mechanism design
Markose, Sheri M.; Alentorn, Amadeo; Koesrindartoto, Deddy - In: Journal of economic dynamics & control 31 (2007) 6, pp. 2001-2032
Persistent link: https://www.econbiz.de/10003487862
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A smart market for passenger road transport (SMPRT) congestion : an application of computational mechanism design
Markose, Sheri M.; Alentorn, Amadeo; Koesrindartoto, Deddy - 2007
Persistent link: https://www.econbiz.de/10003455429
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Generalized extreme value distribution and extreme economic value at risk (EE-VaR)
Alentorn, Amadeo; Markose, Sheri M. - In: Computational methods in financial engineering : essays …, (pp. 47-71). 2008
Persistent link: https://www.econbiz.de/10003669439
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The generalized extreme value distribution, implied tail index, and option pricing
Markose, Sheri M.; Alentorn, Amadeo - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 35-60
Persistent link: https://www.econbiz.de/10008986596
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Dynamic learning, herding and Guru effects in networks
Markose, Sheri M. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002225255
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The generalized extreme value (GEV) distribution, implied tail index and option pricing
Markose, Sheri M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002834204
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Forecasting extreme volatility of FTSE-100 with model free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) option implied volatility indices
Markose, Sheri M.; Yue Peng; Alentorn, Amadeo - 2012
Persistent link: https://www.econbiz.de/10009544687