Search Results - subject:"Stochastic Model"

A general framework for pricing Asian options under Markov processes

Cai, Ning; Song, Yingda; Kou, Steven - In: Operations research 63 (2015) 3, pp. 540-554

Persistent link: https://www.econbiz.de/10011292278

Kim, Jun Il - International Monetary Fund (IMF) - 2008

This paper presents a simple model of optimal reserves that can be easily calibrated to compute optimal reserves as well as the implied probability of a sudden stop for given reserves. The model builds upon the global games framework of Morris and Shin to establish a unique relationship between...

Persistent link: https://www.econbiz.de/10010790274

Insuring Against Losses from Transgenic Contamination: The Case of Pharmaceutical Maize

Hayes, Dermot; Ripplinger, David; Goggi, A. Susana; … - Center for Agricultural and Rural Development (CARD), … - 2008

Concerns about the risk of food supply contamination and the resulting financial losses have limited the development and commercialization of certain pharmaceutical plants. This article develops an insurance pricing model that helps translate these concerns into a cost-benefit analysis. The...

Persistent link: https://www.econbiz.de/10005786493

A Benchmarking Exercise on Latin American Water Util

Romero, Carlos A.; Ferro, Gustavo - Instituto de Economía, Universidad Argentina de la … - 2008

The aim of this study is to estimate both stochastic and mathematical programming cost functions and frontier studies with the ADERASA’s database. ADERASA is a Latin American association of water regulators, which has done a systematic effort on data collection. Econometric and DEA techniques...

Persistent link: https://www.econbiz.de/10008492783

Determining the energy performance of manually controlled solar shades: A stochastic model based co-simulation analysis

Yao, Jian - In: Applied Energy 127 (2014) C, pp. 64-80

major factor in driving solar shading adjustment based on field measurements and logit analysis and then a stochastic model …

Persistent link: https://www.econbiz.de/10010776606

New Approach: Integrated Risk-Stochastic Dynamic Model for Dam and Reservoir Optimization

El-Shafie, Ahmed; El-Shafie, Amr; Mukhlisin, Muhammad - In: Water Resources Management 28 (2014) 8, pp. 2093-2107

, these techniques were reviewed from the stochastic model and risk analysis perspectives. Therefore, previously developed …

Persistent link: https://www.econbiz.de/10010794302

A column-generation-based heuristic algorithm for solving operating theater planning problem under stochastic demand and surgery cancellation risk

Wang, Yu; Tang, Jiafu; Fung, Richard Y.K. - In: International Journal of Production Economics 158 (2014) C, pp. 28-36

. Under the consideration of surgery cancellation, a stochastic model was developed to minimize the total expected operating … overbooking of an operating theater. The sample average approximation method was used to transform the stochastic model into a …

Persistent link: https://www.econbiz.de/10011076771

Stochastic simulation model for tropical cyclone tracks, with special emphasis on landfall behavior

Kriesche, Björn; Weindl, Helga; Smolka, Anselm; … - In: Natural Hazards 73 (2014) 2, pp. 335-353

We consider a spatial stochastic model for the simulation of tropical cyclone tracks, which has recently been …

Persistent link: https://www.econbiz.de/10010996417

Volatility-constrained correlation identifies the directionality of the influence between Japan’s Nikkei 225 and other financial markets

Ochiai, Tomoshiro; Nacher, Jose C. - In: Physica A: Statistical Mechanics and its Applications 393 (2014) C, pp. 364-375

Recent financial crises have shown the importance of determining the directionality of the influence between financial assets in order to identify the origin of market instabilities. Here, we analyze the correlation between Japan’s Nikkei stock average index (Nikkei 225) and other financial...

Persistent link: https://www.econbiz.de/10010709968

Shopper perception and loyalty: a stochastic approach to modelling shopping mall behaviour

Wei Khong, Kok; Sim Ong, Fon - In: International Journal of Retail & Distribution Management 42 (2014) 7, pp. 626-642

stochastic model was developed to measure the impact of perception of malls on patronage loyalty. The model also estimated the … and future research directions were discussed subsequently. Practical implications – This stochastic model can be used by … stochastic model. A series of mathematical equations were derived when constructing the model. …

Persistent link: https://www.econbiz.de/10014804862