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Zelst, Sebastiaan J. van; Buijs, Joos C. A. M.; … - In: Business & information systems engineering 62 (2020) 4, pp. 289-304

Persistent link: https://www.econbiz.de/10012271849

DC Optimal Power Flow Formulation and SolutionUsing QuadProgJ

Sun, Junjie; Tesfatsion, Leigh - Iowa State University of Science and Technology <Ames, … - 2010

Nonlinear AC Optimal Power Flow (OPF) problems are commonly approximatedby linearized DC OPF problems to obtain real power solutions for restructured wholesalepower markets. We first present a standard DC OPF problem, which has thenumerically desirable form of a strictly convex quadratic...

Persistent link: https://www.econbiz.de/10009360862

Hedging in incomplete markets: An approximation procedure for practical application

Breuer, Wolfgang; Gürtler, Marc - 2000

payoff. To this end, an approximation procedure is developed capable ofcalculating the optimal quantity of derivatives to be … of our approximation solution we examine its efficiency for twopractical hedging problems. In the first example we get … Optimierungsproblemen.Statt der unmittelbaren Approximation des unternehmerischen erwarteten Nutzenmaximums empfeh-len wir die Verwendung …

Persistent link: https://www.econbiz.de/10005840847

Approximation and Calibration of Short-Term implied Volatilities Under Jump-Diffusion Stochastic Volatility

Medvedev, Alexey; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2006

-to-maturity and moneyness for which the approximation is accurate. We further propose a simple calibration procedure of an arbitrary … parametric model to short-term near-the-money implied volatilities. An important advantage of our approximation is that it is …

Persistent link: https://www.econbiz.de/10005858590

A Comparative Study of American Option Valuation and Computation

Rodolfo, Karl - 2007

For many practitioners and market participants, the valuation of financialderivatives is considered of very high importance as its uses range from arisk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods...

Persistent link: https://www.econbiz.de/10009480117

High Dimensional Yield Curves: Models and Forecasting

Bowsher, Clive G.; Meeks, Roland - Finance Research Centre, Oxford University - 2006

Functional Signal plus Noise (FSN) models are proposed for analysing the dynamics of a large cross-section of yields or asset prices in which contemporaneous observations are functionally related. The FSN models are used to forecast high dimensional yield curves for US Treasury bonds at the one...

Persistent link: https://www.econbiz.de/10005730056

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form

Bos, Charles S.; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algoritms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10005730343

High Dimensional Yield Curves: Models and Forecasting

Bowsher, Clive; Meeks, Roland - Economics Group, Nuffield College, University of Oxford - 2006

Persistent link: https://www.econbiz.de/10005730371

Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange

Bowsher, Clive G. - Economics Group, Nuffield College, University of Oxford - 2004

Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...

Persistent link: https://www.econbiz.de/10005687558

Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter

Iannaccone, Roberto; Otranto, Edoardo - EconWPA - 2003

A widely used filter to extract a signal in a time series, in particular in the business cycle analysis, is the Hodrick-Prescott filter. The model that underlies the filter considers the data series as the sum of two unobserved component (signal and non signal) and a smoothing parameter which...

Persistent link: https://www.econbiz.de/10005407924