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Derivatives of feed-forward neural networks and their application in real-time market risk management

Ratku, Antal; Neumann, Dirk - In: OR Spectrum 44 (2022) 3, pp. 947-965

Market risk management of financial derivatives requires the efficient calculation of their price sensitivities with respect to changes in market factors. This paper shows how a deep feed-forward neural network which has been trained for pricing derivative instruments can be efficiently used to...

Persistent link: https://www.econbiz.de/10015197055

Supply chain disruption models: A critical review

Bugert, Niels; Lasch, Rainer - In: Logistics Research 11 (2018) 5, pp. 1-35

. Within the research area of supply chain risk management, researchers use simulation models and algorithms to analyze …

Persistent link: https://www.econbiz.de/10011902115

The impact of climate change, sea-storm events and land subsidence in the Adriatic

Teatini, Pietro; Gambolati, Giuseppe - 2000

The Northern Adriatic coastland comprised between the cities of Monfalcone and Cattolica is characterised by locations of great tourist interest, such as the Venice Lagoon and the Romagna Riviera, and areas with a very precarious environmental setting, such as the Valli di Comacchio and the Po...

Persistent link: https://www.econbiz.de/10011608585

Sensitivity Analysis in Economic Simulations: A Systematic Approach

Hermeling, Claudia; Mennel, Tim - 2008

Sensitivity analysis studies how the variation in the numerical output of a model can be quantitatively apportioned to different sources of variation in basic input parameters. Thus, it serves to examine the robustness of numerical results with respect to input parameters, which is a...

Persistent link: https://www.econbiz.de/10010298079

Monte-Carlo Simulation und Due Diligence: Ein methodischer Ansatz zur computergestützten Aggregierung von Wahrscheinlichkeitsverteilungen aus Expertenbefragungen

Klein, Martin - 2010

-carlo simulation to calculate company values. …

Persistent link: https://www.econbiz.de/10010300365

Total Factor Productivity and the Mongolian Transition

Chessa, Antonio G.; Schouwstra, Marije C. - 2005

Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a country. In many transition economies TFP is seen to have been negative the last decade of the plan economy and starts increasing and become positive after a (quite a) few years...

Persistent link: https://www.econbiz.de/10010325301

Sensitivity Analysis for Business, Technology, and Policymaking: Made Easy with Simulation Decomposition (SimDec)

Kozlova, Mariia (contributor); … - 2025

uncertainty and global sensitivity analysis with an innovative visualization technique. While straightforward and elegant, this …

Persistent link: https://www.econbiz.de/10015324899

Powerful t-Tests in the presence of nonclassical measurement error

Kim, Dongwoo; Wilhelm, Daniel - 2023

This paper proposes a powerful alternative to the t-test of the null hypothesis that a coefficient in linear regression is equal to zero when a regressor is mismeasured. We assume there are two contaminated measurements of the regressor of interest. We allow the two measurement errors to be...

Persistent link: https://www.econbiz.de/10014480598

A Stochastic Multiple Players Multi-Issues Bargaining Model for the Piave River Basin

Sgobbi, Alessandra; Carraro, Carlo - 2007

). Exogenous uncertainty over the size of the negotiated amount of water is introduced to capture the fact that water availability …

Persistent link: https://www.econbiz.de/10010312354

Modelling Negotiated Decision Making: a Multilateral, Multiple Issues, Non-Cooperative Bargaining Model with Uncertainty

Sgobbi, Alessandra; Carraro, Carlo - 2007

most economic situations, uncertainty crucially affects also bargaining processes. Therefore, in our analysis, we introduce … uncertainty over the size of the pies to be shared and assess the impacts on players' strategic behaviour. Our results confirm … that uncertainty crucially affects players' behaviour and modifies the likelihood of a self-enforcing agreement to emerge …

Persistent link: https://www.econbiz.de/10010312580