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Year of publication
Subject
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Numerical method 18 Mathematical programming 5 Mathematische Optimierung 5 Theorie 5 Theory 5 numerical method 5 Numerical Method 4 Algorithm 2 Algorithmus 2 Breslaw and Smith’s algorithm 2 Compensating variation 2 Convergence rate 2 Optimal guaranteed result 2 Option pricing theory 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 Vartia’s algorithm 2 Artificial intelligence 1 Artificial neural network 1 Asymmetric channel 1 Asymptotic 1 Begrenzte Rationalität 1 Bermudan options 1 Bounded rationality 1 COVID-19 outbreak 1 Cell-transmission model 1 Chaos 1 Chaos theory 1 Chaostheorie 1 Constitutive equations 1 Consumer behaviour 1 Control problem 1 Convex hull 1 Convex optimization 1 Coronavirus 1 Currency derivative 1 Debt 1 Degradation 1 Diagnostic tests management 1
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Online availability
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Undetermined 21 Free 4
Type of publication
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Article 22 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 10 Aufsatz in Zeitschrift 10
Language
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Undetermined 16 English 10 French 1
Author
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Gomoyunov, Mikhail 2 Sun, Zhen 2 Xie, Yang 2 Ali, Nasir 1 Argote, Juan 1 Bayen, Alexandre M. 1 Bell, Peter N 1 Blandin, Sébastien 1 Brandejsky, Adrien 1 Carr, Peter 1 Dai, Min 1 Detemple, Jérôme B. 1 Djellab, Natalia 1 Drif, Mahmoud 1 Dufour, François 1 Fayolle, Jean-Michel 1 Fujiwara, Ippei 1 Gorban, Alexander N. 1 Goudenège, Ludovic 1 Halilovič, Miroslav 1 Hara, Naoko 1 Hayat, Tasawar 1 Hirose, Yasuo 1 Ismailova, B.B. 1 Itkin, Andrey 1 Kalogirou, Soteris A. 1 Karlin, Iliya V. 1 Lampariello, Lorenzo 1 Lee, Young Hwan 1 Lemaire, Vincent 1 Look, Stefan 1 Lukoyanov, Nikolai 1 Mehdaoui, Ahmed 1 Mellit, Adel 1 Molent, Andrea 1 Montes, Thibaut 1 Nesrine, Zidani 1 Oberlack, Martin 1 Pacelli, Graziella 1 Pagès, Gilles 1
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Institution
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Bank of Japan 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Society for Computational Economics - SCE 1 University of Bonn, Germany 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Computational Economics 2 Dynamic games and applications : DGA 2 Mathematics and Computers in Simulation (MATCOM) 2 Physica A: Statistical Mechanics and its Applications 2 Renewable Energy 2 Applied Mathematical Finance 1 Applied mathematical finance 1 Bank of Japan Working Paper Series 1 CIRANO Working Papers 1 Computational economics 1 Computing in Economics and Finance 2002 1 Decisions in economics and finance : a journal of applied mathematics 1 Discussion Paper Serie B 1 Economics letters 1 MPRA Paper 1 Operations research for health care 1 Operations research forum 1 Quantitative Finance 1 RAIRO / Operations research 1 Stochastic Processes and their Applications 1 The journal of computational finance 1 Transportation Research Part B: Methodological 1
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Source
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RePEc 17 ECONIS (ZBW) 10
Showing 1 - 27 of 27
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A necessary and sufficient condition for the existence of chaotic dynamics in an overlapping generations model
Uchiyama, Tomohiro - In: Operations research forum 5 (2024) 2, pp. 1-12
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015179808
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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 57-72
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012587815
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Quantization-based Bermudan option pricing in the foreign exchange world
Fayolle, Jean-Michel; Lemaire, Vincent; Montes, Thibaut; … - In: The journal of computational finance 25 (2021) 2, pp. 87-128
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Effectively managing diagnostic tests to monitor the COVID-19 outbreak in Italy
Lampariello, Lorenzo; Sagratella, Simone - In: Operations research for health care 28 (2021), pp. 1-5
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013443999
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Numerical ross recovery for diffusion processes using a PDE approach
Sydow, Lina von; Walden, Johan - In: Applied mathematical finance 27 (2020) 1/2, pp. 46-66
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Numerical solution for the performance characteristics of the M/M/C/K retrial queue with negative customers and exponential abandonments by using value extrapolation method
Nesrine, Zidani; Spiteri, Pierre; Djellab, Natalia - In: RAIRO / Operations research 53 (2019) 3, pp. 767-786
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012113739
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Fast computation algorithm for the random consideration set model
Lee, Young Hwan - In: Economics letters 179 (2019), pp. 38-41
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012121683
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On a solution of a guarantee optimization problem under the functional constraints on the disturbance
Gomoyunov, Mikhail; Serkov, Dmitriy - In: Dynamic games and applications : DGA 9 (2019) 3, pp. 700-723
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012226036
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Differential games on minmax of the positional quality index
Lukoyanov, Nikolai; Gomoyunov, Mikhail - In: Dynamic games and applications : DGA 9 (2019) 3, pp. 780-799
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Government spending in a model where debt effects output gap
Bell, Peter N - Volkswirtschaftliche Fakultät, … - 2012
In this paper I present a simple model of government spending where the level of government debt affects the output gap. The structure of the economy is specified such that the output gap has a structural part, which is a function of debt. Based on empirical research, the structural part is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011111805
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Error Analysis and Comparison of Two Algorithms Measuring Compensated Income
Sun, Zhen; Xie, Yang - In: Computational Economics 42 (2013) 4, pp. 433-452
We analyze and compare the errors of two numerical approaches for measuring compensated income. We prove that Vartia’s algorithm and Breslaw and Smith’s algorithm both converge quadratically; when the price change within each partition step is small, the error of Vartia’s algorithm is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010866824
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Optimal stopping for partially observed piecewise-deterministic Markov processes
Brandejsky, Adrien; de Saporta, Benoîte; Dufour, François - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3201-3238
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011065123
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Phase transition model of non-stationary traffic flow: Definition, properties and solution method
Blandin, Sébastien; Argote, Juan; Bayen, Alexandre M.; … - In: Transportation Research Part B: Methodological 52 (2013) C, pp. 31-55
We consider the problem of modeling traffic phenomena at a macroscopic level. Increasing availability of streaming probe data allowing the observation of non-stationary traffic motivates the development of models capable of leveraging this information. We propose a phase transition model of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010666250
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Error analysis and comparison of two algorithms measuring compensated income
Sun, Zhen; Xie, Yang - In: Computational economics 42 (2013) 4, pp. 433-452
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010249877
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Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Itkin, Andrey; Carr, Peter - In: Computational Economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010866869
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The Japanese Economic Model: JEM
Fujiwara, Ippei; Hara, Naoko; Hirose, Yasuo; Teranishi, Yuki - Bank of Japan - 2004
In this paper, we set out the JEM (Japanese Economic Model), a large macroeconomic model of the Japanese Economy. Although the JEM is a theoretical model designed with a view to overcoming the Lucas (1976) critique of traditional large macroeconomic models, it can also be used for both...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010907523
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Computation of the value function indiscrete stochastic optimal growth models
Pampel, Thorsten - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005345447
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Application of neural networks and genetic algorithms for sizing of photovoltaic systems
Mellit, Adel; Kalogirou, Soteris A.; Drif, Mahmoud - In: Renewable Energy 35 (2010) 12, pp. 2881-2893
In this paper, an artificial neural network-based genetic algorithm (ANN-GA) model was developed for generating the sizing curve of stand-alone photovoltaic (SAPV) systems. Firstly, a numerical method is used for generating the sizing curves for different loss of load probability (LLP)...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010805648
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NICE—An explicit numerical scheme for efficient integration of nonlinear constitutive equations
Halilovič, Miroslav; Vrh, Marko; Štok, Boris - In: Mathematics and Computers in Simulation (MATCOM) 80 (2009) 2, pp. 294-313
The paper presents a simple but efficient new numerical scheme for the integration of nonlinear constitutive equations. Although it can be used for the integration of a system of algebraic and differential equations in general, the scheme is primarily developed for use with the direct solution...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011050296
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Pricing jump risk with utility indifference
Wu, Lixin; Dai, Min - In: Quantitative Finance 9 (2009) 2, pp. 177-186
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion process. We price options according to the principle of utility indifference. Our main contribution is an efficient multi-nomial tree method for computing the utility indifference prices for both...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005279150
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Outdoor testing of photovoltaic arrays in the Saharan region
Sadok, Mohammed; Mehdaoui, Ahmed - In: Renewable Energy 33 (2008) 12, pp. 2516-2524
This article presents the results obtained from the analysis of the I–V electrical characteristics of photovoltaic arrays that were tested in a region of the Sahara. Experiments were carried out at Adrar in the southern part of Algeria. The study includes the determination of the most...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010804296
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Magnetohydrodynamic peristaltic motion of a Sisko fluid in a symmetric or asymmetric channel
Wang, Yongqi; Hayat, Tasawar; Ali, Nasir; Oberlack, Martin - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 347-362
This paper presents a numerical study for the peristaltic flow characteristics of a Sisko fluid in a symmetric or asymmetric channel. The fluid is assumed to be electrically conducting in the presence of a uniform magnetic field. The mathematical formulation consisting of nonlinear governing...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011057847
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Dynamic Equilibrium with Liquidity Constraints
Detemple, Jérôme B.; Serrat, Angel - Centre Interuniversitaire de Recherche en Analyse des … - 1998
We consider an intertemporal economy with liquidity constrained and unconstrained individuals. A liquidity constraint prevents marketability of future income and thus endogenously generates market incompleteness. In contrast with the existing literature on portfolio constraints, our liquidity...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005100526
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Invariant grids for reaction kinetics
Gorban, Alexander N.; Karlin, Iliya V.; Zinovyev, Andrei Yu. - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 106-154
In this paper, we construct low-dimensional manifolds of reduced description for equations of chemical kinetics from the standpoint of the method of invariant manifold (MIM). MIM is based on a formulation of the condition of invariance as an equation, and its solution by Newton iterations. A...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010874765
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Geoinformation modeling of wind-induced surges on the northern–eastern Caspian Sea
Ismailova, B.B. - In: Mathematics and Computers in Simulation (MATCOM) 67 (2004) 4, pp. 371-377
Shallow north part of the Caspian Sea is part of the most important region of the Caspian Sea. The Northeast part, especially its coastal zone, is unexplored areas of the Caspian Sea. In last years the north part of the Caspian Sea became one of the main sources of pollution of the whole sea....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010749830
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A hybrid method for pricing European options based on multiple assets with transaction costs
Pacelli, Graziella; Recchioni, Maria Cristina; Zirilli, … - In: Applied Mathematical Finance 6 (1999) 2, pp. 61-85
The problem of pricing European options based on multiple assets with transaction costs is considered. These options include, for example, quality options and options on the minimum of two or more risky assets. The value of these options is the solution of a nonlinear parabolic partial...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005639879
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The Stochastic Finite Element Method and Application in Option Pricing
Look, Stefan - University of Bonn, Germany
The purpose of this paper is to present a numerical method to solve partial stochastic differential equations. This concept remains the differential operator unchanged but discretizes the dimension of the problem. The response function will be decomposed by the Karhunen--Loeve expansion and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005032148
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