Search Results - subject:"Stochastic Model"

Poměnková, Jitka - In: Ekonomický časopis : časopis pre ekonomickú … 60 (2012) 9, pp. 899-917

Persistent link: https://www.econbiz.de/10010372809

INSURING AGAINST LOSSES FROM TRANSGENIC CONTAMINATION

Ripplinger, David G.; Hayes, Dermot J.; Lamkey, Kendall R. - Agricultural and Applied Economics Association - AAEA - 2004

Concerns about contamination of the food supply and the financial losses that would result have limited the promise of certain genetically engineered plants. This article addresses the situation by constructing an insurance pricing model to protect against those losses. The model first estimates...

Persistent link: https://www.econbiz.de/10005500432

Weed Search and Control: Theory and Application

Cacho, Oscar J.; Spring, Daniel; Pheloung, Paul; … - School of Economics, Business School - 2004

The detectability of invasive organisms influences the costs and benefits of alternative control strategies, and the feasibility of eradicating an infestation. Search theory offers a mathematically rigorous framework for defining and measuring detectability, taking account of searcher ability,...

Persistent link: https://www.econbiz.de/10005802990

Currency Bloc Formation As a Dynamic Process Basedon Trade Network Externalities

Yehoue, Etienne B. - International Monetary Fund (IMF) - 2004

dynamic stochastic model-based on network externalities operating through trade channels-to explain the emergence of currency …

Persistent link: https://www.econbiz.de/10005599610

Innovazione tecnologica e offerta di skill: una simulazione del ruolo della storia e delle aspettative in unarea in via di sviluppo

Cenci, Marisa; Scarlato, Margherita - Dipartimento di Economia, Università degli Studi di Roma 3 - 2003

In this paper a dynamic stochastic model is used to simulate the matching process between skills demand and supply in a …

Persistent link: https://www.econbiz.de/10005405031

Financial Deepening, Inequality, and Growth; A Model-Based Quantitative Evaluation

Townsend, Robert M.; Ueda, Kenichi - International Monetary Fund (IMF) - 2003

We propose a coherent unified approach to the study of the linkages among economic growth, financial structure, and inequality, bringing together disparate theoretical and empirical literature. That is, we show how to conduct model-based quantitative research on transitional paths. With...

Persistent link: https://www.econbiz.de/10005825597

A Novel Solution for Stochastic Dynamic Game of Water Allocation from a Reservoir Using Collocation Method

Homayounfar, Mehran; Ganji, Arman; Martinez, C. - In: Water Resources Management 25 (2011) 13, pp. 3427-3444

new solution method was used to solve the stochastic model of game based on collocation method. The collocation method was … typically requires considering the effect of uncertainty on decision variables. The results of the solution of the stochastic … model of game are compared with the results of a deterministic solution of game, a classical stochastic dynamic programming …

Persistent link: https://www.econbiz.de/10010794840

Monte Carlo Algorithms for Default Timing Problems

Giesecke, Kay; Kim, Baeho; Zhu, Shilin - In: Management Science 57 (2011) 12, pp. 2115-2129

Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops,...

Persistent link: https://www.econbiz.de/10010990537

On confined McKean Langevin processes satisfying the mean no-permeability boundary condition

Bossy, Mireille; Jabir, Jean-François - In: Stochastic Processes and their Applications 121 (2011) 12, pp. 2751-2775

We construct a confined Langevin type process aimed to satisfy a mean no-permeability condition at the boundary. This Langevin process lies in the class of conditional McKean Lagrangian stochastic models studied by Bossy, Jabir and Talay (2010) [5]. The confined process considered here is a...

Persistent link: https://www.econbiz.de/10011064973

Monte Carlo Bounds for Game Options Including Convertible Bonds

Beveridge, Christopher; Joshi, Mark - In: Management Science 57 (2011) 5, pp. 960-974

We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalize upper-bound duality results to the case where both parties of a contract have Bermudan optionality. It is shown that the primal-dual simulation method can still be...

Persistent link: https://www.econbiz.de/10009197917