Mixed variational inequalities and economic equilibrium problems.
Model of circulation and exchange of banknotes
Model tracking for risk problems.
Modélisation des préférences et quasi-ordres. Avant-propos
Modélisation du jugement humain dans l'analyse multicritère au moyen de comparaisons par paires
Modelling financial time series using reflections of copulas
We have intensified studies of reflections of copulas (that we introduced recently in [6]) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold.
Modelling key market impacts and land allocation for biofuel production and forestry.
Modelling stock returns with AR-GARCH processes.
Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have been intensely studied in financial and econometric literature as risk models of many financial time series. Analyzing two data sets of stock prices we try to fit AR(1) processes with GARCH or EGARCH errors to the log returns. Moreover, hyperbolic or generalized error distributions occur to be good models...
Modello bivariato di Cox-Ingersoll-Ross guidato da diffusioni e salti: valutazione, completamento, stimatori dei parametri
Models for option pricing based on empirical characteristic function of returns
The standard Merton-Black-Scholes formula for European Option pricing serves only as approximation to real values of options. More advanced extensions include applications of Lévy processes and are based on characteristic functions, which are more convenient to use than the corresponding probability distributions. We found one of the Lewis (2001) general theoretical formulae for option pricing based on characteristic functions particularly suitable for a statistical approach to option pricing. By...
Models of inflation
Modified golden ratio algorithms for pseudomonotone equilibrium problems and variational inequalities
We propose a modification of the golden ratio algorithm for solving pseudomonotone equilibrium problems with a Lipschitz-type condition in Hilbert spaces. A new non-monotone stepsize rule is used in the method. Without such an additional condition, the theorem of weak convergence is proved. Furthermore, with strongly pseudomonotone condition, the $R$-linear convergence rate of the method is established. The results obtained are applied to a variational inequality problem, and the convergence rate...
Modified neural network algorithms for predicting trading signals of stock market indices.
Monotonicity and comparison results for nonnegative dynamic systems. Part II: Continuous-time case
This second Part II, which follows a first Part I for the discrete-time case (see [DijkSl1]), deals with monotonicity and comparison results, as generalization of the pure stochastic case, for stochastic dynamic systems with arbitrary nonnegative generators in the continuous-time case. In contrast with the discrete-time case the generalization is no longer straightforward. A discrete-time transformation will therefore be developed first. Next, results from Part I can be adopted. The conditions,...
Monotonicity and comparison results for nonnegative dynamic systems. Part I: Discrete-time case
In two subsequent parts, Part I and II, monotonicity and comparison results will be studied, as generalization of the pure stochastic case, for arbitrary dynamic systems governed by nonnegative matrices. Part I covers the discrete-time and Part II the continuous-time case. The research has initially been motivated by a reliability application contained in Part II. In the present Part I it is shown that monotonicity and comparison results, as known for Markov chains, do carry over rather smoothly...
Monotonicity of ratios involving incomplete gamma functions with actuarial applications.
More on nonconvexities in an optimal growth model.
More on the tournament equilibrium set
Schwartz (1990) proposed a new solution concept for choosing from a tournament ; called the Tournament Equilibrium Set. He stated four problems concerning this solution. In this paper we introduce further questions and demonstrate some logical relationship between these questions.
Moving equilibria in the public health care sector: a low-quality trap and a resolution.
Multi-attribute evaluation with imprecise vector utility
We consider the multi-attribute decision making problem with incomplete information on the decision maker's preferences, given by an imprecise vector utility function. We introduce an approximation set to the utility efficient set which may be used to aid a decision maker in reaching a final compromise strategy. We provide sorne properties and an interactive procedure based on such approximation set.