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Comments on ‘A Method for Determining Whether Parameters in Aggregate Models are Structural’ by Michael Parkin
Determining Whether Parameters Aggregate Models
2015/8/4
Comments on ‘A Method for Determining Whether Parameters in Aggregate Models are Structural’ by Michael Parkin.
A method for pricing American options using semi-infinite linear programming
optimal stopping excessive functions upper bounds semiinfinite linear programming
2011/3/30
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of th...
Unemployment and inflation in Western Europe: solution by the boundary element method
unemployment inflation labor force boundary integral method prediction Western Europe
2010/10/29
Using an analog of the boundary element method in engineering and science, we analyze and model
unemployment rate in Austria, Italy, the Netherlands, Sweden, Switzerland, and the United States as a f...
Inconsistency of the judgment matrix in the AHP method and the decision maker's knowledge
Inconsistency judgment matrix AHP method decision maker's knowledge
2010/12/20
In this paper we propose a method for a quantitative estimation of the decision maker's knowledge in the context of the Analytic Hierarchy Process (AHP) in cases, where the judgment matrix is inconsi...
Revealing the implied risk-neutral MGF from options: The wavelet method
Waveletanalysis Option pricing Laplace transform
2011/4/2
Options are believed to contain unique information on the risk-neutral moment generating function(MGF) or the risk-neutral probability density function(PDF) of the underlying asset. This paper applies...
Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
Dual method continuous-time Markowitz's Problems nonlinear wealth equations
2010/12/20
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the op...