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Affine mortality models with jumps : parameter estimation and forecasting

Garces, Len Patrick Dominic M.; Kolar, Jovana; Sherris, … - 2022

Persistent link: https://www.econbiz.de/10013534309

Opioid mortality in the US: quantifying the impact of key determinants using a spatial panel data approach

Gopal, Sucharita; Fischer, Manfred M. - 2022

Persistent link: https://www.econbiz.de/10013491104

Pricing Autocallables under Local-Stochastic Volatility

Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022

This paper investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic derivatives. The autocallable payoff embeds an...

Persistent link: https://www.econbiz.de/10013491888

A decision support tool with health economic modelling for better management of DVT patients

Lebcir, Reda; Yakutcan, Usame; Demir, Eren - In: Health economics review 12 (2022) 1, pp. 1-16

from a number of DVT services in the UK, we developed a DST combining discrete event simulation (DES) for DVT pathways and …

Persistent link: https://www.econbiz.de/10013492964

Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model

Kunimoto, Noriyuki; Kakamu, Kazuhiko - In: Applied economics 54 (2022) 57, pp. 6536-6550

Persistent link: https://www.econbiz.de/10013494160

Design and evaluation of an integrated autonomous control method for automobile terminals

Görges, Michael; Freitag, Michael - In: Logistics 6 (2022) 4, pp. 1-27

autonomous control approach, by using a discrete event simulation model. Moreover, it analyses all relevant parameters of the new … control approach to real-world terminals. It presents a simulation model of a real-world terminal and compares the new method …

Persistent link: https://www.econbiz.de/10013552527

Macroeconomic components of the risks to fiscal sustainability in Hungary

Ábel, István; Kóbor, Ádám - In: Risks : open access journal 10 (2022) 11, pp. 1-13

are identified in the VECM framework. Using this method for simulation starting from 2006, we found that the debt …

Persistent link: https://www.econbiz.de/10013556859

A conceptual approach for business model innovation including strategic simulations as digital prototypes for decision support

Nawroth, Georg F. E.; Herrmann, Florian; Spath, Dieter; … - In: International journal of innovation and technology … 19 (2022) 8, pp. 1-39

Persistent link: https://www.econbiz.de/10014232921

Monte Carlo Variance Reduction and American Option Exercise Strategies

Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - 2022

The Least-Squares Monte Carlo (LSM) algorithm of Longstaff and Schwartz (2001) prices American options with a regression-based early-exercise strategy. This paper analyzes LSM estimator variance to identify two sources: sampling design and stopping time estimation. We examine the effect of...

Persistent link: https://www.econbiz.de/10014235534

Quasi-Monte Carlo Methods for Calculating Derivatives Sensitivities on the GPU

Bilokon, Paul; Kucherenko, Sergei; Williams, Casey - 2022

by applying GPUs to highly parallelisable finance problems such as calculating Greeks. We pair QMC-CPW with simulation on …

Persistent link: https://www.econbiz.de/10014236815

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