Search Results - subject:"stochastic processes"

Behavioural explanations of Expectile VaR forecasting and dynamic hedging strategies for downside risk during the COVID-19 pandemic : insights from financial markets

Trichilli, Yousra; Gaadane, Sahbi; Abbes, Mouna Boujelbène - 2025

Persistent link: https://www.econbiz.de/10015337856

Asymptotically optimal routing of a many-server parallel queueing system with long-run average criterion

Cao, Ping; Zhong, Zhiheng - In: European journal of operational research : EJOR 321 (2025) 2, pp. 462-475

Persistent link: https://www.econbiz.de/10015408404

Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs

Peng, Yijie; Fu, Michael; Hu, Jiaqiao; L'Ecuyer, Pierre; … - In: European journal of operational research : EJOR 321 (2025) 2, pp. 493-502

Persistent link: https://www.econbiz.de/10015408418

Methods of Nonsmooth Optimization in Stochastic Programming : From Conceptual Algorithms to Real-World Applications

Ackooij, Wim van; Oliveira, Welington de - 2025

Introduction -- Primer of convex analysis -- Variational analysis -- Linear and nonlinear optimization problems -- Probability and Statistics -- Fundamental modeling questions in stochastic programming -- Adjusting to uncertainty: modeling recourse -- Probability constraints -- Proximal point...

Persistent link: https://www.econbiz.de/10015401855

Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - In: Journal of empirical finance 81 (2025), pp. 1-20

Persistent link: https://www.econbiz.de/10015405342

Robust non-zero-sum investment-consumption games under multivariate stochastic covariance models

Zhang, Yumo; Zhu, Huainian - In: The quarterly review of economics and finance 100 (2025), pp. 1-28

Persistent link: https://www.econbiz.de/10015405512

Probabilistic branch and bound considering stochastic constraints

Huang, Hao; Tsai, Shing Chih; Park, Chuljin - In: European journal of operational research : EJOR 321 (2025) 1, pp. 147-159

Persistent link: https://www.econbiz.de/10015094943

A heuristic method for perishable inventory management under non-stationary demand

Gulecyuz, Suheyl; O'Sullivan, Barry; Tarim, S. Armagan - In: Omega : the international journal of management science 133 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015407263

Interest rate modeling : theory and practice

Wu, Lixin - 2025 - Third edition

"Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and...

Persistent link: https://www.econbiz.de/10015186492

Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis

Rom, Niels - 2025

Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9....

Persistent link: https://www.econbiz.de/10015401840