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Analysis of numerical errors
Peralta-Alva, Adrian; Santos, Manuel - 2012
Persistent link: https://www.econbiz.de/10009681262
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Chapter 9. Analysis of Numerical Errors
Peralta-Alva, Adrian; Santos, Manuel S. - In: Handbook of computational economics : volume 3, (pp. 517-556). 2014
convergence and accuracy properties of the simulated moments. We study both optimal and non-optimal economies. Optimal economies …
Persistent link: https://www.econbiz.de/10014025713
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Chapter 7. Numerical Methods for Large-Scale Dynamic Economic Models
Maliar, Lilia; Maliar, Serguei - In: Handbook of computational economics : volume 3, (pp. 325-477). 2014
approximating functions (Smolyak, stochastic simulation, and ε -distinguishable set grids), accurate low-cost monomial integration … condition methods that reduce the cost and increase accuracy of value function iteration. Third, we show precomputation … techniques that increase the accuracy of perturbation methods: a change of variables and a hybrid of local and global solutions …
Persistent link: https://www.econbiz.de/10014025715
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Technical change, the long-run behavior of the United States stock market, and an enquiry into the accuracy of simulations
Peralta-Alva, Adrian - 2003
Persistent link: https://www.econbiz.de/10003385463
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Error estimation properties of Gaussian process models in stochastic simulations
Hernandez, Andres F.; Grover, Martha A. - In: European journal of operational research : EJOR 228 (2013) 1, pp. 131-140
Persistent link: https://www.econbiz.de/10009734137
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Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems
Malhotra, Yogesh - 2015
Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...
Persistent link: https://www.econbiz.de/10013029835
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Likelihood inference for discretely observed non-linear diffusions
Elerian, Ola; Chib, Siddhartha; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581671
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Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
Morokoff, William J. - In: Applied mathematical finance 6 (1999) 1, pp. 19-28
Persistent link: https://www.econbiz.de/10001449231
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Value Function Approximation or Stopping Time Approximation : A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression
Stentoft, Lars - 2012
In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and … since then the method has rapidly gained importance. However, the idea of using regression and simulation for American …
Persistent link: https://www.econbiz.de/10014212073