Search Results - subject:"Numerical Integration"

Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models

Osiewalski, J.; Steel, M.F.J. - Tilburg University, Center for Economic Research - 1996

In this paper we describe the use of modern numerical integration methods for making posterior inferences in composed …

Persistent link: https://www.econbiz.de/10011091739

Fast strong approximation Monte Carlo schemes for stochastic volatility models

Kahl, Christian; Jackel, Peter - In: Quantitative Finance 6 (2006) 6, pp. 513-536

Numerical integration methods for stochastic volatility models in financial markets are discussed. We concentrate on …

Persistent link: https://www.econbiz.de/10005495809

On the valuation of constant maturity swaps

Noguchi, Tetsuya - Society for Computational Economics - SCE - 2006

This research aims to develop a valuation technique for constant maturity swaps (CMS) based on convexity corrections. We explicitly incorporates into our valuation model both 1) complex shift patterns of the yield curve and 2) implied volatility smile and skew effects. The method requires...

Persistent link: https://www.econbiz.de/10005706223

A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model

Henrard, Marc - In: Applied Mathematical Finance 13 (2006) 1, pp. 1-18

times. So equipped, one is able to reduce the valuation of a 2-Bermudan swaption to a single numerical integration at the …

Persistent link: https://www.econbiz.de/10005279060

Application of threshold accepting to the evaluation of the discrepancy of a set of points

Winker, Peter; Fang, Kai-Tai - 1995

Efficient routines for multidimensional numerical integration are provided by quasi-Monte Carlo methods. These methods …

Persistent link: https://www.econbiz.de/10010398207

Application of threshold accepting to the evaluation of the discrepancy of a set of points

Winker, Peter; Fang, Kai-Tai - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1995

Efficient routines for multidimensional numerical integration are provided by quasi-Monte Carlo methods. These methods …

Persistent link: https://www.econbiz.de/10010958353

Application of threshold accepting to the evaluation of the discrepancy of a set of points

Winker, Peter; Fang, Kaitai - 1995

Efficient routines for multidimensional numerical integration are provided by quasi-Monte Carlo methods. These methods …

Persistent link: https://www.econbiz.de/10009774691

Numerical Integration Filters for Maximum Likelihood Estimation of Asymmetric Stochastic Volatility Models

Kawakatsu, Hiroyuki - Society for Computational Economics - SCE - 2005

I consider two filtering algorithms (quadrature and mixture Gaussian) based on numerical integration for maximum …

Persistent link: https://www.econbiz.de/10005537472

Quadrature-Based Methods for Solving Heterogeneous Agent Models with Discontinuous Distributions

Hussey, Robert - In: Computational Economics 26 (2005) 1, pp. 1-17

The paper develops a method for solving heterogeneous agent models in which the distribution of characteristics across agents is a state variable and the distribution can be discontinuous at points that vary endogenously. The method extends the approach of [Tauchen, George and Robert Hussey,...

Persistent link: https://www.econbiz.de/10005542269

Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches

Henrard, Marc - EconWPA - 2005

note we show that a more direct approach through iterated numerical integration is also possible. A brute force numerical … integration would lead to a complexity exponential in the number of exercise dates in the base of the number of points ($p^N$). By …

Persistent link: https://www.econbiz.de/10005413121