Search Results - subject:"Continuous time Markov-chain"

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A general approximation method for optimal stopping and random delay

Chen, Pengzhan; Song, Yingda - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 5-35

Persistent link: https://www.econbiz.de/10014471139

On a regime switching illiquid high volatile prediction model for cryptocurrencies

El-Khatib, Youssef; Hatemi-J, Abdulnasser - In: Journal of economic studies 51 (2024) 2, pp. 485-498

Persistent link: https://www.econbiz.de/10014482773

Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility

Sushko, Stepan S. - 2021

Persistent link: https://www.econbiz.de/10012940057

On the information content of implied liquidity measure : Evidence from the S&P 500 index options

Yerli, Cigdem; Eksi-Altay, Zehra; Selcuk-Kestel, A. Sevtap - In: Finance research letters 57 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014507814

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078

Persistent link: https://www.econbiz.de/10014321664

Modelling, performance evaluation and optimisation of (s,Q) retrial inventory system with partial backlogging demands : a GSPN approach

Bazizi, Lydia; Rahmoune, Fazia; Lekadir, Ouiza; Labadi, … - In: European journal of industrial engineering : EJIE 17 (2023) 4, pp. 529-569

Persistent link: https://www.econbiz.de/10014306658

Reliability analysis of a two-unit standby system under Marshall-Olkin dependency

Yaghoubi, Afshin; Niaki, Seyed Taghi Akhavan - In: International journal of quality & reliability management 40 (2023) 6, pp. 1587-1596

Persistent link: https://www.econbiz.de/10014313839

Reliability and survivability assessment of LTE-A architecture and networks

Gautam, Anupam; Dharmaraja, Selvamuthu - In: Opsearch : journal of the Operational Research Society … 60 (2023) 1, pp. 370-392

Persistent link: https://www.econbiz.de/10014280724

Analytically pricing exchange options with stochastic liquidity and regime switching

He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676

Persistent link: https://www.econbiz.de/10014293179

The Jacobian of the exponential function

Magnus, Jan R.; Pijls, Henk G.J.; Sentana, Enrique - 2020

We derive closed-form expressions for the Jacobian of the matrix exponential function for both diagonalizable and defective matrices. The results are applied to two cases of interest in macroeconometrics: a continuous-time macro model and the parametrization of rotation matrices governing...

Persistent link: https://www.econbiz.de/10012233997

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