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JEL Code: C63
290,251 Total downloads
Showing Papers 21 - 70 of 1,413
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Financial Fragility and Contagion in Interbank Networks
Stefano Pegoraro
Date Posted: April 07, 2013Last Revised: April 10, 201337 downloads
An Efficient Decomposition of the Expectation of the Maximum with Normally Distributed Errors
Jonathan Eggleston
Date Posted: April 07, 20134 downloads
Single Crossing Property
Maria-Augusta Miceli
Date Posted: April 06, 2013Last Revised: April 09, 201342 downloads
Asymmetric Information and the Death of ABS CDOs FRB International Finance Discussion Paper No. 1075
Daniel O. Beltran
,
Larry Cordell
and
Charles P. Thomas
Date Posted: April 06, 201326 downloads
Welfare Costs of Shifting Trend Inflation FEDS Working Paper No. 2013-12
Taisuke Nakata
Date Posted: April 06, 20134 downloads
Optimizing the Conditional Value-at-Risk in Revenue Management
Jochen Goensch
and
Michael Hassler
Date Posted: April 06, 201322 downloads
The Cyclicality of Job-to-Job Transitions and Its Implications for Aggregate Productivity FRB International Finance Discussion Paper No. 1074
Toshihiko Mukoyama
Date Posted: April 06, 20133 downloads
The Impact of Computational Error on the Volatility Smile
Don M. Chance ,
Thomas A. Hanson
,
Weiping Li
and
Jayaram Muthuswamy
Date Posted: April 04, 201363 downloads
Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion: An Numerical Impulse Control Approach
Duy Minh Dang and
Peter A. Forsyth
Date Posted: April 03, 201331 downloads
Using Nonlinear Model Predictive Control for Dynamic Decision Problems In Economics
Lars Grüne ,
Willi Semmler Sr. and
Marleen Stieler
Date Posted: April 03, 201340 downloads
Systemic Risk, Contagion, and Financial Networks: A Survey
Matteo Chinazzi
and
Giorgio Fagiolo
Date Posted: April 02, 201373 downloads
A Computational Agent-Based Model to Study the Effect of Drivers and Barriers to the Uptake of a FTTH Broadband Platform in New Zealand
Farhaan Mirza
and
Fernando Beltrán
Date Posted: April 01, 2013
Equilibrium Computation of the Hart and Mas-Colell Bargaining Model
Zhigang Cao
Date Posted: April 01, 20135 downloads
Did CNBC Contribute to the Great Moderation or the Great Recession? Trinity College Department of Economics Working Paper No. 13-07
Shyam Gouri Suresh
and
Mark Setterfield
Date Posted: March 29, 20134 downloads
Galerkin Infinite Element Approximation for Pricing Barrier Options and Options with Discontinuous Payoff Decisions in Economics and Finance, Vol. 27(2), 2004, pp. 125-151
Simona Sanfelici
Date Posted: March 29, 2013
Adjustable Robust Parameter Design with Unknown Distributions CentER Discussion Paper Series No. 2013-022
Ihsan Yanikoglu
,
Dick den Hertog and
Jack P. C. Kleijnen
Date Posted: March 26, 20137 downloads
Elementi di Teoria dei Contratti (Elements of Contract Theory)
Maria-Augusta Miceli
Date Posted: March 24, 2013Last Revised: April 16, 2013183 downloads
Bankruptcy Prediction Based on Stochastic Processes: A New Model Class to Predict Corporate Bankruptcies?
Jan Klobucnik
and
Soenke Sievers
Date Posted: March 23, 201348 downloads
A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: March 23, 2013Last Revised: April 28, 201333 downloads
Iteration Capping for Discrete Choice Models Using the EM Algorithm CentER Discussion Paper Series No. 2013-019
Jan Kabatek
Date Posted: March 20, 20133 downloads
Modeling and Analysis of Renewable Energy Obligations and Technology Bandings in the UK Electricity Market CentER Discussion Paper Series No. 2013-016
Gul Gurkan
and
Romeo Langestraat
Date Posted: March 20, 20138 downloads
AI Brain Sciences/Belief-Based Advertisements for Same-Sex Marriage Equality
Daniel Olsher
Date Posted: March 19, 20135 downloads
Introducing CO2 Allowances, Higher Prices for All Consumers; Higher Revenues for Whom? CentER Discussion Paper Series No. 2013-015
Gül Gürkan
,
Romeo Langestraat
and
Ozge Ozdemir
Date Posted: March 19, 20135 downloads
A Fourier-Cosine Method for an Efficient Computation of Solutions to BSDEs
Marjon Ruijter and
Cornelis W. Oosterlee
Date Posted: March 16, 201318 downloads
Asian Options on Harmonic Average
Jan Vecer
Date Posted: March 14, 201319 downloads
An Analytical Evaluation Method of the Operational Risk Using Fast Wavelet Expansion Techniques
Kensuke Ishitani
and
Kenichi Sato
Date Posted: March 14, 201330 downloads
Risk Adjustments of Option Prices under Time-Changed Dynamics
Elisa Nicolato
and
David Sloth
Date Posted: March 11, 2013Last Revised: May 11, 201339 downloads
Multivariate Markov Chain Approximations
Simon Scheuring
and
Benjamin Jonen
Date Posted: March 11, 201320 downloads
Statistical Equilibrium Models for Sparse Economic Networks
Leonardo Bargigli
Date Posted: March 09, 20136 downloads
How Do Social Networks Contribute to Wage Inequality? Insights from an Agent-Based Analysis Bielefeld Working Papers in Economics and Management No. 05-2013
Herbert Dawid and
Simon Gemkow
Date Posted: March 08, 201311 downloads
Strategies and Evolution in the Minority Game: A Multi-Round Strategy Experiment Tinbergen Institute Discussion Paper 13-043/I
Jona Linde
,
Joep Sonnemans and
Jan Tuinstra
Date Posted: March 08, 20135 downloads
A Fast Wavelet Expansion Technique for Evaluation of Portfolio Credit Risk Under the Vasicek Multi-Factor Model
Kensuke Ishitani
Date Posted: March 08, 201330 downloads
Imposing Views on Frequency Domain Factor Models Ortec Finance Research Center, Methodological Working Paper No. 2012-01
Martin van der Schans
and
Hens Steehouwer
Date Posted: March 07, 201332 downloads
Who's Who on the Australian Political Left-Right Spectrum?
Michael Coleman Dalvean
Date Posted: March 06, 20133 downloads
Business Cycle and Credit Risk Modeling with Jump Risks
Bong-Gyu Jang
,
Yuna Rhee and
Ji Hee Yoon
Date Posted: February 25, 201376 downloads
Comparing Inequality Aversion Across Countries When Labor Supply Responses Differ IZA Discussion Paper No. 7215
Olivier Bargain
,
Mathias Dolls ,
Dirk Neumann
,
Andreas Peichl
and
Sebastian Siegloch
Date Posted: February 23, 20133 downloads
Accuracy, Speed and Robustness of Policy Function Iteration
Alexander W. Richter ,
Nathaniel A. Throckmorton and
Todd B. Walker
Date Posted: February 20, 20133 downloads
Micromundo Para Simular un Mercado Eléctrico de Corto Plazo (Microworld for Simulating a Spot Electricity Market) Cuadernos de Economía, Vol. 31, no. 58, pp. 229-256, 2012,
Carlos Jaime Franco
,
Juan David Velásquez
and
Jose David Cardona Ardila
Date Posted: February 13, 20134 downloads
Closed-Form Expansion, Conditional Expectation, and Option Valuation
Chenxu Li
Date Posted: February 12, 201326 downloads
Pricing and Mitigation of Counterparty Credit Exposures Handbook of Systemic Risk, edited by J.-P. Fouque and J.Langsam. Cambridge University Press, 2012
Agostino Capponi
Date Posted: February 12, 201357 downloads
Forecasting of Stock Market Indices Using Artificial Neural Network Shri Chimanbhai Patel Institutes, Ahmedabad Working Paper No. CPI/MBA/2013/0003
Jay Desai ,
Arti Trivedi and
Nisarg A. Joshi
Date Posted: February 10, 2013103 downloads
Determinants of Precautionary Savings: Elasticity of Intertemporal Substitution vs. Risk Aversion
Arif Oduncu
Date Posted: February 10, 20135 downloads
Libor Market Model with Stochastic Basis - Calibration Using OIS Yield and Money Market Basis Spreads
Joerg Kienitz
Date Posted: February 05, 201340 downloads
Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model
Christian Bayer
,
Jim Gatheral
and
Morten Karlsmark
Date Posted: February 02, 201349 downloads
A General Closed Form Option Pricing Formula
Ciprian Necula
,
Gabriel G. Drimus
and
Walter Farkas
Date Posted: February 02, 2013144 downloads
Option Portfolio Value at Risk Using Monte Carlo Simulation Under a Risk Neutral Stochastic Implied Volatility Model Global Journal of Business Research, v. 6 (5) pp. 65-72, 2012
Peng He
Date Posted: January 29, 201365 downloads
Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses Quantitative Finance, May 2011
Josep J. Masdemont
and
Luis Ortiz-Gracia
Date Posted: January 25, 201315 downloads
Credit Risk Contributions Under the Vasicek One-Factor Model: A Fast Wavelet Expansion Approximation Journal of Computational Finance, 2011
Luis Ortiz-Gracia
and
Josep J. Masdemont
Date Posted: January 24, 201328 downloads
Robust Pricing of European Options with Wavelets and the Characteristic Function
Luis Ortiz-Gracia
and
Cornelis W. Oosterlee
Date Posted: January 24, 201342 downloads
Accounting and the Formation of Share Market Prices Over Time: A Mathematical Institutional Economic Analysis Through Simulation and Experiment Eastern Economic Association (EEA), 39th Annual Conference, NYC Computational Economics and Complexity Workshop, New York, 9-11 May 2013, 8th Annual Workshop on the Economic Science with Heterogeneous Interacting Agents (WEHIA 2013), June 20-22, 2013, Reykjavik University, Iceland
Yuri Biondi
Date Posted: January 23, 2013Last Revised: May 09, 201388 downloads
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