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SMS - A Program Package for Simulation and Gaming of Stochastic Market Processes and Learning Behavior

Witt, Ulrich - 1982

I Problems and Results -- 1 — Theoretical Background -- 2 — Some Applications and Results -- II The Economic Model of Individual Behavior and the Market Interaction -- 3 — Restrictions on the Firm’s Behavior -- 4 — Simulating Interaction in the Market -- 5 — Simulating the Behavioral...

Persistent link: https://www.econbiz.de/10013519899

Combined Monte Carlo simulation and memetic algorithm for a stochastic multi-trip inventory routing problem

Khoukhi, Saâdia; El Yaakoubi, Othmane; Bojji, Chakib; … - In: International journal of shipping and transport … 16 (2023) 1/2, pp. 19-53

Persistent link: https://www.econbiz.de/10013550349

The Influence of Misspecification in Stochastic Frontier Analysis Models : A Simulation Approach

Meesters, Aljar - 2010

impact of misspecification on frontier and efficiency estimates as well as efficiency scores. Using a simulation approach …

Persistent link: https://www.econbiz.de/10013142146

Strategic Asset Allocation Considerations for German Pension Insurance Funds : Theoretical Analysis and Empirical Evidence - Applying Stochastic Time Series Simulations and Dynamic, Multiperiod Investment Strategies to Determine Optimal Portfolio Structures

Hertrich, Christian - 2011

Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external...

Persistent link: https://www.econbiz.de/10013120648

Exact Scenario Simulation for Selected Multi-Dimensional Stochastic Processes

Platen, Eckhard - 2012

Accurate scenario simulation methods for solutions of multi-dimensional stochastic differential equations find … particular field of application, even that they may be too simple for more advanced tasks. Various discrete time simulation … methods have been developed over the years. However, the simulation of solutions of some stochastic differential equations can …

Persistent link: https://www.econbiz.de/10013098242

Bayesian Forecasting for Automobile Parts using Stochastic Simulation

Muñoz, David - 2010

This article presents the development and application of a simulation model that was used to forecast the demand of …, how stochastic simulation and Bayesian statistics can be combined to model and solve complex forecasting problems. The …

Persistent link: https://www.econbiz.de/10013148043

Efficient Simulation of the Double Heston Model

Gauthier, Pierre - 2010

Stochastic volatility models have replaced Black-Scholes model since they are able to generate a volatility smile. However, standard models fail to capture the smile slope and level movements. The Double-Heston model provides a more flexible approach to model the stochastic variance. In this...

Persistent link: https://www.econbiz.de/10013152219

A Scenario Simulation Model of Stock's Volatility Based on a Stationary Markovian Process

Miccichè, Salvatore - 2013

In this paper we discuss univariate statistical properties of volatility. We present a parsimonious univariate model that well reproduces two stylized facts of volatility: the power-law decay of the volatility probability density function with exponent α and the power-law decay of the...

Persistent link: https://www.econbiz.de/10013083994

Method of Iterated Integrals for Solution of Stochastic Integrals with Applications to Monte Carlo Simulation of Stochastic Differential Equations

Amin, Ahsan - 2018

integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential … integrals terms at the initial time of the simulation along with the solution of the stochastic integrals which is found in … terms of Hermite polynomials and variance of the integrals. We apply the method of iterated integrals to simulation of …

Persistent link: https://www.econbiz.de/10012925940

Extensions on Stochastic Dominance Efficiency Tests

Kallio, Markku - 2018

We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions....

Persistent link: https://www.econbiz.de/10012928166