This paper presents an estimation of Value at Risk (VaR) using Monte Carlo Simulation (MCS) under the symmetric GARCH (1,1) model in three different markets, United States, Eurozone and Japan, represented by the indexes Dow Jones Industrial Average, Euro Stoxx 50 and Nikkei 225 respectively,...

Numerical methods such as binomial and finite difference methods can be used to price options however the problem is when the options have early exercise features. In this research project, we investigate the effectiveness and accuracy of Monte Carlo methods in pricing American options. We...

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...

This paper introduces a novel simulation-based filtering method for general state space models. It allows for the computation of time-varying conditional means, quantiles, and modes, but also for the prediction of latent variables in general. The method relies on generating artificial samples of...

There are restricted studies of non-single-value health exposure models regarding fluoride intake in Iran. As such, we adopted a probability-based approach for higher accuracy along with sensitivity analysis to reduce the ambiguity of the health risk model of Fars and Bushehr Provinces. Fluoride...