Search Results - subject:"Deterministic"

Application of Malliavin Calculus and Wiener Chaos to Option Pricing Theory (1st Phd Manuscript)

Benhamou, Eric - 2023

This dissertation provides a contribution to the option pricing literature by means of some recent developments in probability theory, namely the Malliavin Calculus and the Wiener chaos theory. It sheds new light on some old and complicated problems by means of these new techniques. It...

Persistent link: https://www.econbiz.de/10014257546

Nonlinear Dynamics of Islamic Fixed Income Securities : Evidence from Generalized Chaos Analysis Framework

Kojić, Milena; Vogl, Markus; Mitić, Petar; Hanić, Aida - 2023

and deterministic (chaotic) behavior. Moreover, time series exhibit multifractal scaling properties characterized by power …

Persistent link: https://www.econbiz.de/10014352812

Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior

Mignot, Sarah; Tramontana, Fabio; Westerhoff, Frank H. - 2023

We develop a nonlinear duopoly model in which the heuristic expectation formation and learning behavior of two boundedly rational firms may engender complex dynamics. Most importantly, we assume that the firms employ different forecasting models to predict the behavior of their opponent....

Persistent link: https://www.econbiz.de/10014305614

The distribution of savings behaviours and macro dynamics

Gomes, Orlando - 2025

Persistent link: https://www.econbiz.de/10015357333

Design of neuro-stochastic Bayesian networks for nonlinear chaotic differential systems in financial mathematics

Syed, Farwah Ali; Fang, Kwo-Ting; Kiani, Adiqa Kausar - In: Computational economics 65 (2025) 1, pp. 241-270

Persistent link: https://www.econbiz.de/10015195764

Does bid-ask spread explains the smile? : on DVF and DML

Li, Pengshi; Yu, Xing - In: Pacific-Basin finance journal 90 (2025), pp. 1-14

Persistent link: https://www.econbiz.de/10015402318

Deterministic effects of volatility on mixed frequency GARCH in Means MIDAS model: Evidence from Turkey

Özsoy, Fehmi; Doğan, Nükhet - In: International Econometric Review (IER) 14 (2022) 1, pp. 1-20

a stochastic way. However, it is required to check whether there exist deterministic effects of volatilities on high … frequency economic variables. In order to reveal these deterministic effects, we developed a new component-wise model, namely … the volatilities have statistically significant deterministic effects on the asset pricing of high frequency financial …

Persistent link: https://www.econbiz.de/10014518992

Unpredictable Dynamics in Congestion Games : Memory Loss Can Prevent Chaos

Bielawski, Jakub; Chotibut, Thiparat; Falniowski, Fryderyk - 2022

We study the dynamics of simple congestion games with two resources where a continuum of agents behaves according to a simplified version of Experience-Weighted Attraction algorithm. The dynamics is characterized by the intensity of choice capturing rationality of the total population of agents...

Persistent link: https://www.econbiz.de/10014081519

Controlling chaos in new Keynesian macroeconomics

Barnett, William A.; Bella, Giovanni; Ghosh, Taniya; … - 2022

Persistent link: https://www.econbiz.de/10012888227

Decision making reflecting the fractalization of the society

Kalina, Jan - In: Serbian journal of management : an international … 17 (2022) 1, pp. 207-218

Persistent link: https://www.econbiz.de/10013488774