Search Results - subject:"Algorithms"

Efficient hybrid methods for portfolio credit derivatives

Zheng, H. - In: Quantitative Finance 6 (2006) 4, pp. 349-357

transactions. We suggest two hybrid algorithms for these two portfolio credit derivatives. The method combines the analytic … efficiency and accuracy of the algorithms are illustrated with examples. …

Persistent link: https://www.econbiz.de/10005639924

Constraint-based inference algorithms for structural models with latent confounders— empirical application and simulations

Temme, Dirk - In: Computational Statistics 21 (2006) 1, pp. 151-182

Persistent link: https://www.econbiz.de/10005613216

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006

The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology for estimating factors from large datasets based on state space models and...

Persistent link: https://www.econbiz.de/10005788994

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006

The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM....

Persistent link: https://www.econbiz.de/10005789043

Using Genetic Algorithms to Estimate and Validate Bioeconomic Models: The Case of the Ibero-atlantic Sardine Fishery

Álvarez-Diaz, Marcos; Dominquez-Torreiro, Marcos - In: Journal of Bioeconomics 8 (2006) 1, pp. 55-65

Persistent link: https://www.econbiz.de/10005715828

A HYBRID GENETIC ALGORITHM FOR THE EARLY/TARDY SCHEDULING PROBLEM

VALENTE, JORGE M. S.; GONÇALVES, JOSÉ FERNANDO; … - In: Asia-Pacific Journal of Operational Research (APJOR) 23 (2006) 03, pp. 393-405

this new approach, although requiring slightly longer computational times, is better than the previous algorithms in terms …

Persistent link: https://www.econbiz.de/10005050681

Evolutionary Learning in a Principal-Agent Model

Arifovic, Jasmina; Karaivanov, Alexander - Society for Economic Dynamics - SED - 2006

We introduce learning based on genetic algorithms in a principal-agent model of optimal contracting under moral hazard … learning algorithms lead to convergence to the underlying optimal contract under full rationality as studied by the mechanism … the readerâ€™s preferences. If commonly used learning algorithms fail to converge to the optimal contract in our simple …

Persistent link: https://www.econbiz.de/10005051212

An adjusted binomial model for pricing Asian options

Costabile, Massimo; Massabó, Ivar; Russo, Emilio - In: Review of Quantitative Finance and Accounting 27 (2006) 3, pp. 285-296

We propose a model for pricing both European and American Asian options based on the arithmetic average of the underlying asset prices. Our approach relies on a binomial tree describing the underlying asset evolution. At each node of the tree we associate a set of representative averages chosen...

Persistent link: https://www.econbiz.de/10005701338

Evolutionary Dynamics in Public Good Games

Clemens, Christiane; Riechmann, Thomas - In: Computational Economics 28 (2006) 4, pp. 399-420

This paper explores the question whether boundedly rational agents learn to behave optimally when asked to voluntarily contribute to a public good. The dynamic game is described by an Evolutionary Algorithm, which is shown to extend the applicability of ordinary replicator dynamics of...

Persistent link: https://www.econbiz.de/10005701602

Robust Evolutionary Algorithm Design for Socio-economic Simulation

Alkemade, Floortje; Poutré, Han; Amman, Hans - In: Computational Economics 28 (2006) 4, pp. 355-370

Agent-based computational economics (ACE) combines elements from economics and computer science. In this paper, we focus on the relation between the evolutionary technique that is used and the economic problem that is modeled. In the field of ACE, economic simulations often derive parameter...

Persistent link: https://www.econbiz.de/10005701608