Search Results - subject:"numerical methods"

The behavior of trust-region methods in FIML estimation

Weihs, Claus; Calzolari, Giorgio; Panattoni, Lorenzo - Volkswirtschaftliche Fakultät, … - 1986

This paper presents a Monte-Carlo study on the practical reliability of numerical algorithms for FIML-estimation in nonlinear econometric models. The performance of different techniques of Hessian approximation in trust-region algorithms is compared regarding their "robustness" against "bad"...

Persistent link: https://www.econbiz.de/10008540113

A simulation tool for the analysis of high speed flows

Bella, G; Burroni, M; Cerimele, M.M; Pistella, F - In: Mathematics and Computers in Simulation (MATCOM) 51 (1999) 1, pp. 33-45

The availability of an efficient, low-cost numerical simulator is essential in the design of fluid dynamic systems, both to achieve a deep understanding of the flow field and to allow a quick and economical optimization of the technical characteristics of industrial devices. With the aim of...

Persistent link: https://www.econbiz.de/10010749706

Computation of Japanese bonds and derivative securities

Nowman, K. Ben; Sorwar, Ghulam - In: Mathematics and Computers in Simulation (MATCOM) 47 (1998) 6, pp. 583-588

In this paper, we use the Box numerical method to compute implied bond and option prices starting from the general CKLS interest rate model based on Japanese interbank data. In particular, we compute numerically implied prices from the CKLS, Vasicek, Cox–Ingersoll–Ross and Brennan–Schwartz...

Persistent link: https://www.econbiz.de/10010870377

Multistep numerical methods for functional differential equations

Kim, A.V.; Pimenov, V.G. - In: Mathematics and Computers in Simulation (MATCOM) 45 (1998) 3, pp. 377-384

Different numerical methods are developed for solving retarded differential equations [1, 9]. Multistep numerical … in this paper, multistep numerical methods are based on the interpolation of discrete model, but not on the approximation … methods for general functional differential equations (FDE) were elaborated in [5, 10]. In contrast to those works presented …

Persistent link: https://www.econbiz.de/10010870561

Modified scaling relation for the random-field Ising model

Nowak, U.; Usadel, K.D.; Esser, J. - In: Physica A: Statistical Mechanics and its Applications 250 (1998) 1, pp. 1-7

We investigate the low-temperature critical behavior of the three-dimensional random-field Ising ferromagnet. By a scaling analysis we find that in the limit of temperature T→0 the usual scaling relations have to be modified as far as the exponent α of the specific heat is concerned. At zero...

Persistent link: https://www.econbiz.de/10011064370

Sparse matrix methods for computable general equilibrium models of the Johansen class

Pearson, K.R.; Rimmer, Russell J. - Centre of Policy Studies and Impact Project (COPS), … - 1983

Considers the solution of large systems of linear equations, such as those arising from a large linearized economic model. Recommends (a) that matrix inversion be avoided, in favour of LU methods; and (b) that sparsity in the system be exploited using special computer subroutines. Some examples...

Persistent link: https://www.econbiz.de/10010877238

Fast numerical valuation of American, exotic and complex options

Dempster, M. A. H.; Hutton, J. P. - In: Applied Mathematical Finance 4 (1997) 1, pp. 1-20

robust numerical valuation of a wide range of derivative securities can be achieved by use of direct numerical methods in the …

Persistent link: https://www.econbiz.de/10005462522

Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

Bensoussan, A.; Crouhy, M.; Galai, D. - In: Applied Mathematical Finance 2 (1995) 1, pp. 43-60

We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is...

Persistent link: https://www.econbiz.de/10009279075

Stochastic equity volatility related to the leverage effect

Bensoussan, Alain; Crouhy, Michel; Galai, Dan - In: Applied Mathematical Finance 1 (1994) 1, pp. 63-85

We propose a general framework to model equity volatility for a firm financed by equity and additional non-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. We...

Persistent link: https://www.econbiz.de/10009279051

Option Pricing under Incompleteness and Stochastic Volatility

Hofmann, N.; Platen, E.; Schweizer, M. - University of Bonn, Germany - 1992

stochastic numerical methods permitting the explicit computation of option prices and hedging strategies, and we illustrate our …

Persistent link: https://www.econbiz.de/10005028474