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A geometrical approach to quantum holonomic computing algorithms

Samoilenko, A.M.; Prykarpatsky, Y.A.; Taneri, Ufuk; … - In: Mathematics and Computers in Simulation (MATCOM) 66 (2004) 1, pp. 1-20

The article continues a presentation of modern quantum mathematics backgrounds started in [Quantum Mathematics and its Applications. Part 1. Automatyka, vol. 6, AGH Publisher, Krakow, 2002, No. 1, pp. 234–2412; Quantum Mathematics: Holonomic Computing Algorithms and Their Applications. Part 2....

Persistent link: https://www.econbiz.de/10010870714

Interpolated mapping system identification as a numerical algorithm

Bursal, Faruk H.; Tongue, Benson H. - In: Mathematics and Computers in Simulation (MATCOM) 36 (1994) 3, pp. 209-220

A new method for nonlinear system identification, based on the technique of Interpolated Mapping, is formulated. The input to the procedure is a map, taking initial conditions on a regular grid to their images after a fixed time step. It is assumed that the underlying dynamics evolves in...

Persistent link: https://www.econbiz.de/10010870370

SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS

CAISTER, NICOLETTE C.; O'HARA, JOHN G.; GOVINDER, KESHLAN S. - In: International Journal of Theoretical and Applied … 13 (2010) 08, pp. 1265-1277

this is not always shown. In the literature these reductions and mappings are typically acquired via inspection or ad hoc … methods. In this paper, we evaluate the classical Lie point symmetries of the Asian option PDE. We subsequently use these … symmetries with Lie's systematic and algorithmic methods to show that one can obtain the same aforementioned results. In fact we …

Persistent link: https://www.econbiz.de/10008763460

Politically Optimal Fiscal Policy

Yakadina, Irina; Kumhof, Michael - International Monetary Fund (IMF) - 2007

Why do governments issue large amounts of debt? In what sense and for whom is such a policy optimal? We show that twisting the optimal taxation paradigm produces very reasonable predictions for debt and real interest rates. Adding an extra dimension of uncertainty about the political planning...

Persistent link: https://www.econbiz.de/10005599742

Habit Formation and Persistence in Individual Asset Portfolio Holdings; The Case of Italy

Muñoz, Sònia - International Monetary Fund (IMF) - 2006

This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a...

Persistent link: https://www.econbiz.de/10005605275

Financial Deepening, Inequality, and Growth; A Model-Based Quantitative Evaluation

Townsend, Robert M.; Ueda, Kenichi - International Monetary Fund (IMF) - 2003

We propose a coherent unified approach to the study of the linkages among economic growth, financial structure, and inequality, bringing together disparate theoretical and empirical literature. That is, we show how to conduct model-based quantitative research on transitional paths. With...

Persistent link: https://www.econbiz.de/10005825597

The Equilibrium Distributions of Value for Risky Stocks and Bonds

Johannes, Ron - International Monetary Fund (IMF) - 2001

Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to approximate lognormal with systematic deviations (high peak, fat tail) and double...

Persistent link: https://www.econbiz.de/10005826363

Recent Advances in Credit Risk Modeling

Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Persistent link: https://www.econbiz.de/10008528651

Financial innovation, the Discovery of Risk, and the U.S. Credit Crisis

Mendoza, Enrique G.; Boz, Emine - International Monetary Fund (IMF) - 2010

Uncertainty about the riskiness of new financial products was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by...

Persistent link: https://www.econbiz.de/10008560424

Protection for Free? the Political Economy of U.S. Tariff suspensions

Mishra, Prachi; Ludema, Rodney D.; Mayda, Anna Maria - International Monetary Fund (IMF) - 2010

This paper studies the political influence of individual firms on Congressional decisions to suspend tariffs on U.S. imports of intermediate goods. We develop a model in which firms influence the government by transmitting information about the value of protection, via costless messages...

Persistent link: https://www.econbiz.de/10008671307