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Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - 2011

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The...

Persistent link: https://www.econbiz.de/10009373436

Optimization of cash management fluctuation through stochastic processes

Dib, Youssef M; Kmeid, Najat; Greige, Hanna; Raffoul, … - In: Inventi impact: microfinance & banking (2018) 4, pp. 223-240

Persistent link: https://www.econbiz.de/10012242296

Effect of feedback on eBay sellers' business using Markov Chain

Dib, Y. M.; Roumieh, N.; Saab, G.; Maroun, M. - In: Journal of mathematical finance 9 (2019) 3, pp. 325-344

Persistent link: https://www.econbiz.de/10012210203

Optimization of cash management fluctuation through stochastic processes

Dib, Youssef M.; Kmeid, Najat; Greige, Hanna; Raffoul, … - In: Journal of mathematical finance 8 (2018) 2, pp. 408-425

Persistent link: https://www.econbiz.de/10011875270

A hybrid biobjective Markov chain based optimization model for sustainable aggregate production planning

Tirkolaee, Erfan Babaee; Aydın, Nadi Serhan; Mahdavi, Iraj - In: IEEE transactions on engineering management : EM ; a … 71 (2024), pp. 4273-4283

Persistent link: https://www.econbiz.de/10015407828

A Bayesian semiparametric analysis of ARCH models

Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000

Persistent link: https://www.econbiz.de/10001497195

Numerical methods for stochastic control problems in continuous time

Kushner, Harold J.; Dupuis, Paul - 2001 - Second edition

Persistent link: https://www.econbiz.de/10001498718

Asymptotic equivalence of estimating a poisson intensity and a positive diffusion drift

Genon-Catalot, Valentine; Laredo, Catherine; Nussbaum, … - 2000

Persistent link: https://www.econbiz.de/10001528152

Optimale Steuerung von Risikoprozessen bei zufällig variierenden Zinssätzen

Hölzer, Oliver; Hölzer, Oliver - 2000 - Als Ms. gedr

Persistent link: https://www.econbiz.de/10001538978

Stochastic stability and sunspots : a general result

Medio, Alfredo - 1999

Persistent link: https://www.econbiz.de/10001451964

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