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A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION

D'AMICO, GUGLIELMO; JANSSEN, JACQUES; MANCA, RAIMONDO - In: International Journal of Theoretical and Applied … 14 (2011) 02, pp. 221-238

In this paper, we present a model to describe the evolution of the yield spread by considering the rating evaluation as the determinant of credit spreads. The underlying rating migration process is assumed to be a non-homogeneous discrete time semi-Markov process. We calculate the total sum of...

Persistent link: https://www.econbiz.de/10008914068

Algorithm for Proportional Matrices in Reals and Integers

Balinski, Michel; Demange, Gabrielle - HAL - 1989

Let R be the set of nonnegative matrices whose row and column sums fall between specific limits and whose entries sum to some fixed h 0. Closely related axiomatic approaches have been developed to ascribe meanings to the statements: the real matrix fe R and the integer matrix a ~ R are...

Persistent link: https://www.econbiz.de/10008924931

Computation of Business-Cycle Models with the Generalized Schur Method

Heer, Burkhard; Maussner, Alfred - CESifo - 2009

We describe an algorithm that is able to compute the solution of a singular linear difference system under rational … expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example. …

Persistent link: https://www.econbiz.de/10008572539

FINDING ATTRACTORS IN ASYNCHRONOUS BOOLEAN DYNAMICS

SKODAWESSELY, THOMAS; KLEMM, KONSTANTIN - In: Advances in Complex Systems (ACS) 14 (2011) 03, pp. 439-449

We present a computational method for finding attractors (ergodic sets of states) of Boolean networks under asynchronous update. The approach is based on a systematic removal of state transitions to render the state transition graph acyclic. In this reduced state transition graph, all attractors...

Persistent link: https://www.econbiz.de/10009144127

A Multi-Agent Computational Model of Trade (Enghish version)

DAMACEANU, Romulus-Catalin - In: Anuarul Universitatii „Petre Andrei” din Iasi / … 1 (2010) 5, pp. 135-152

In this paper we describe how you can implement a multi-agent computational model of trade using NetLogo. We did a number of 12 computer experiments. The first five experiments are dealing with the case when resources are renewable and trade is opened. The next five computer experiments are...

Persistent link: https://www.econbiz.de/10009144446

Approximations to viability kernels for sustainable macroeconomic policies

Krawczyk, Jacek B; Pharo, Alastair; Simpson, Mark - School of Economics and Finance, Victoria Business School - 2011

can use to assist the central bank to establish "sustainable" policies. We propose a simple heuristic algorithm that leads …

Persistent link: https://www.econbiz.de/10009188409

A conception of a new algorithm for the project time-cost analysis

Gaspars, Helena - In: Operations Research and Decisions 3-4 (2006), pp. 5-27

revealed that in some cases the algorithm based on the critical path method with a time-cost analysis (CPM-COST) does not …

Persistent link: https://www.econbiz.de/10008777277

Decision support system for choosing a model for a software development life cycle

Holodnik-Janczura, Grazyna; Golinska, Izabela - In: Operations Research and Decisions 1 (2010), pp. 61-77

The aim of this paper is to present selected models of a Software Development Life Cycle as a set of possible alternatives. The article also includes the characteristics of IT projects which are used as the basis for selection criteria, according to which an appropriate model should be chosen....

Persistent link: https://www.econbiz.de/10008777293

An exact algorithm for weighted-mean trimmed regions in any dimension

Bazovkin, Pavel; Mosler, Karl - Seminar für Wirtschafts- und Sozialstatistik, … - 2010

regarding continuity, subadditivity, and monotonicity. We present an exact algorithm to compute the weighted-mean trimmed …, the algorithm builds on methods from computational geometry. A characterization of a region's facets is used, and … solved by the introduction of a tree-based order. The algorithm has been programmed in C++ and is available as an R package. …

Persistent link: https://www.econbiz.de/10009019655

The Epistemology of Simulation, Computation and Dynamics in Economics Ennobling Synergies, Enfeebling 'Perfection'

Velupillai, K. Vela; Zambelli, Stefano - Dipartimento di Economia e Management, Università … - 2010

Lehtinen and Kuorikoski ([73]) question, provocatively, whether, in the context of Computing the Perfect Model, economists avoid - even positively abhor - reliance on simulation. We disagree with the mildly qualified affirmative answer given by them, whilst agreeing with some of the issues they...

Persistent link: https://www.econbiz.de/10009024789