Search Results - subject:"numerical analysis"

A note on the accuracy of Markov-chain approximations to highly persistent AR(1)-processes

Flodén, Martin (contributor) - 2007

This note examines the accuracy of methods that are commonly used to approximate AR(1)-processes with discrete Markov chains. The quadrature-based method suggested by Tauchen and Hussey (1991) generates excellent approximations with a small number of nodes when the autocorrelation is low or...

Persistent link: https://www.econbiz.de/10003426472

Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach

Herbertsson, Alexander (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003571927

Pricing synthetic CDO tranches in a model with default contagion using the matrix-analytic approach

Herbertsson, Alexander (contributor) - 2007

Persistent link: https://www.econbiz.de/10003571937

Modelling default contagion using multivariate phase-type distributions

Herbertsson, Alexander (contributor) - 2007

Persistent link: https://www.econbiz.de/10003571939

Numerical Solution of Optimal Control Problems With Constant Control Delays

Brandt-Pollmann, Ullrich; Winkler, Ralph; Sager, Sebastian - 2007

We investigate a class of optimal control problems that exhibit constant exogenously given delays in the control in the equation of motion of the differential states. Therefore, we formulate an exemplary optimal control problem with one stock and one control variable and review some analytic...

Persistent link: https://www.econbiz.de/10014054288

Ensemble-based chemical data assimilation II: Real observations

Constantinescu, Emil M; Sandu, Adrian; Chai, Tianfeng; … - 2006

Data assimilation is the process of integrating observational data and model predictions to obtain an optimal representation of the state of the atmosphere. As more chemical observations in the troposphere are becoming available, chemical data assimilation is expected to play an essential role...

Persistent link: https://www.econbiz.de/10009451267

A new approach to solve non-regular constrained optimization problems. An application to optimal provision of public inputs.

Fuentes, A. Jesus Sanchez; Lopez, Diego Martinez - Departamento de Economía, Universidad Pablo de Olavide - 2006

This paper describes a new method for solving non-regular constrained optimization problems when standard methodologies do not work properly. Our method (the Rational Iterative Multisection Procedure, RIMP) consists of different stages that can be interpreted as different requirements of...

Persistent link: https://www.econbiz.de/10005634803

Numerical analysis of non-constant discounting with an application to renewable resource management

Fujii, Tomoki; Karp, Larry - Department of Agricultural and Resource Economics, … - 2006

Persistent link: https://www.econbiz.de/10008592518

Approximate solutions to dynamic models : linear methods

Uhlig, Harald (contributor) - 2006

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

Persistent link: https://www.econbiz.de/10003324430

Numerical treatment of the Black-Scholes variational inequality in computational finance

Mautner, Karin (contributor) - 2006

the variational inequality and the semi-discrete solution of the penalised problem concludes the numerical analysis. The … . . . . . . . . . . . . 59 4.2.2 Second Approach – Obstacle ψ ≡ 0 . . . . . . . . . . . . . . . . . . . 60 5 Numerical Analysis 62 5.1 Continuous … numerical analysis provided in this thesis. To apply efficient numerical methods, the unbounded domain is truncated to a bounded …

Persistent link: https://www.econbiz.de/10003448658