Search Results - subject:"Closed‑form solution"

A note on the closed-form solution to the Lucas-Uzawa model with externality

Hiraguchi, Ryoji - In: Journal of Economic Dynamics and Control 33 (2009) 10, pp. 1757-1760

Ruiz-Tamarit [2008. The closed-form solution for a family of four-dimension nonlinear MHDS. Journal of Economic … Dynamics and Control 32, 1000-1014] provides a closed-form solution to the two-sector model of endogenous growth with …-54] and derives a closed-form solution without setting the parametric assumption. The solution path is expressed in terms of …

Persistent link: https://www.econbiz.de/10005006657

Solution of stochastic non-homogeneous linear first-order difference equations

Kadry, Seifedine; El Hami, Abdelkhalak - In: Journal of mathematical finance 4 (2014) 4, pp. 245-248

Persistent link: https://www.econbiz.de/10011312422

A Closed-form Solution of the Uzawa-Lucas Model of Endogenous Growth

Bethmann, Dirk - In: Journal of Economics 90 (2007) 1, pp. 87-107

Persistent link: https://www.econbiz.de/10005810114

The Target Rate and Term Structure of Interest Rates

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

This paper presents a tractable bond valuation model, which further develops the approach proposed by Piazzesi (2005). The short term inter-bank interest rate is equal to the target rate set by the central bank plus a spread. Bond yields are driven by the intensities that determine the...

Persistent link: https://www.econbiz.de/10005523952

Evolutionary Estimation of Macro-Level Diffusion Models Using Genetic Algorithms: An Alternative to Nonlinear Least Squares

Venkatesan, Rajkumar; Krishnan, Trichy V.; Kumar, V. - In: Marketing Science 23 (2004) 3, pp. 451-464

In this paper, we provide theoretical arguments and empirical evidence for how Genetic Algorithms (GA) can be used for efficient estimation of macro-level diffusion models. Using simulations we find that GA and Sequential Search-Based-Nonlinear Least Squares (SSB-NLS) provide comparable...

Persistent link: https://www.econbiz.de/10008787699

A closed form solution to the transitional dynamics of a modified Ramsey model

FERRARA, Massimiliano; GUERRINI, Luca - Facultatea de Finante şi Banci, Universitatea Spiru Haret - 2009

In this paper we derive a closed form solution for the Ramsey model with a bounded population growth rate and a …

Persistent link: https://www.econbiz.de/10005006807

Pricing a European Basket Option in the Presence of Proportional Transaction Costs

Atkinson, C.; Alexandropoulos, C. A. - In: Applied Mathematical Finance 13 (2006) 3, pp. 191-214

A crucial assumption in the Black-Scholes theory of options pricing is the no transaction costs assumption. However, following such a strategy in the presence of transaction costs would lead to immediate ruin. This paper presents a stochastic control approach to the pricing and hedging of a...

Persistent link: https://www.econbiz.de/10005495382

Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

Reikvam, Kristin; Benth, Fred Espen; Karlsen, Kenneth … - In: Finance and Stochastics 5 (2001) 4, pp. 447-467

We consider an optimal portfolio-consumption problem which incorporates the notions of durability and intertemporal substitution. The logreturns of the uncertain assets are not necessarily normally distributed. The natural models then involve Lévy processes as driving noise instead of the more...

Persistent link: https://www.econbiz.de/10005613436