Maximum likelihood estimation (MLE) of stochastic differential equations (SDEs) is difficult because in general the transition density function of these processes is not known in closed form, and has to be approximated somehow. An approximation based on efficient importance sampling (EIS) is...

Money is one of the main elements ("pillars") on which the policy strategy of the European Central Bank is based, and such a role requires that money has a stable relationship with the Euro area price level. Typically, the stability of this relation is tested in the context of the so called...

Pricing algorithms are increasingly replacing human decision making in real marketplaces. To inform the competition policy debate on possible consequences, we run experiments with pricing algorithms powered by Artificial Intelligence in controlled environments (computer simulations).In...