This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications. Explicit...

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...

We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Generalized linear mixed models or multilevel regression models have become increasingly popular. Several methods have been proposed for estimating such models. However,to date there is no single method that can be assumed to work well in all circumstances in terms of both parameter recovery and...

A geometric approach to quadrature formulas for matrix measures is presented using the relations between the representations of the boundary points of the moment space (generated by all matrix measures) and quadrature formulas. Simple proofs of existence and uniqueness of quadrature formulas of...

The standard domain for quasi-Monte Carlo approximations is the unit cube. Recently, much research has been done to make quasi-Monte Carlo methods applicable to the real space. Mathé and Wei proposed an algorithm that splits Rd into cubes. One of the difficulties with their approach is that the...

Sensitivity analysis is a powerful technique used to determine robustness, reliability and efficiency of a model. The main problem in this procedure is the evaluating total sensitivity indices that measure a parameter’s main effect and all the interactions involving that parameter. From a...

The paper presents a simple but efficient new numerical scheme for the integration of nonlinear constitutive equations. Although it can be used for the integration of a system of algebraic and differential equations in general, the scheme is primarily developed for use with the direct solution...