Search Results - subject:"Stochastic Model"

Multicategory purchase incidence models for partitions of product categories

Hruschka, Harald - In: Journal of forecasting 36 (2017) 3, pp. 230-240

Persistent link: https://www.econbiz.de/10011729245

Pricing range accrual interest rate swap employing LIBOR market models with jump risks

Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373

Persistent link: https://www.econbiz.de/10011938138

Integrated EUA and CER price modeling and application for spread option pricing

Barrieu, Pauline; Fehr, Max - London School of Economics (LSE) - 2011

In this paper we propose a market consistent futures price dynamics model for cap-andtrade schemes, designed in the spirit of the European Union’s Emissions Trading Scheme (EU ETS). Historical price dynamics for the EU ETS suggest that, both, European emission Allowances (EUAs) and Certified...

Persistent link: https://www.econbiz.de/10010745195

Impact of the New Standard Reinsurance Agreement (SRA) on Multi-Peril Crop Insurance (MPCI) Gain and Loss Probabilities

Vergara, Oscar; Seaquist, Jack; Zuba, Gerhard; … - Agricultural and Applied Economics Association - AAEA - 2011

We utilize an agricultural model that uses crop/weather relationships at the county resolution and fits robust distributions that take into account the impact that weather has on crop production. Once the crop insurance policy conditions and prices are applied to the modeled county yield...

Persistent link: https://www.econbiz.de/10009002536

Variance reduction methods at the pricing of weather options

Raimova, Gulnora - In: Applied Econometrics 21 (2011) 1, pp. 3-15

Paper is devoted to various ways of variance reduction for estimation of the price of a weather option on an example based on the model of daily average temperature

Persistent link: https://www.econbiz.de/10009018550

Unemployment risks and optimal retirement in an incomplete market

Bensoussan, Alain; Jang, Bong-Gyu; Park, Seyoung - In: Operations research 64 (2016) 4, pp. 1015-1032

Persistent link: https://www.econbiz.de/10011538586

Modelling of coal trade process for the logistics enterprise and its optimisation with stochastic predictive control

Cheng, Qifeng; Ning, Shiwei; Xia, Xiaohua; Yang, Fan - In: International journal of production research 54 (2016) 7/8, pp. 2241-2259

Persistent link: https://www.econbiz.de/10011495905

The matrix-form solution for Geo X/G/1/N working vacation queue and its application to state-dependent cost control

Luo, Chuanyi; Li, Wei; Yu, Kaizhi; Ding, Chuan - In: Computers & operations research : and their … 67 (2016), pp. 63-74

Persistent link: https://www.econbiz.de/10011441256

Endogenizing consumption decision in the Frenkel-Jovanovic stochastic model of money holding

Ahalya, R.; Ramanathan, R. - In: Annals of financial economics 11 (2016) 3, pp. 1-10

Persistent link: https://www.econbiz.de/10011685750

Dependability and performance stochastic modelling of a two-unit repairable production system with preventive maintenance

Manatos, Athanassios; Koutras, Vasilis P.; Platis, … - In: International journal of production research 54 (2016) 21/22, pp. 6395-6415

Persistent link: https://www.econbiz.de/10011565598