Computation of Greeks using Malliavin's calculus in jump type market models.
Computational aspects of DYNAMICO : a model of trade and development in the world economy
Computational aspects of robust Holt-Winters smoothing based on -estimation
To obtain a robust version of exponential and Holt-Winters smoothing the idea of -estimation can be used. The difficulty is the formulation of an easy-to-use recursive formula for its computation. A first attempt was made by Cipra (Robust exponential smoothing, J. Forecast. 11 (1992), 57–69). The recursive formulation presented there, however, is unstable. In this paper, a new recursive computing scheme is proposed. A simulation study illustrates that the new recursions result in smaller forecast...
Computations in choice groupoids.
Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
Stochastic partial differential equations (SPDEs) whose solutions are probability-measure-valued processes are considered. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In particular, we consider a model of asset price determination by an infinite collection of competing traders. Each trader’s valuations of the assets are given by the solution of a stochastic differential equation,...
Conditional value-at-risk bounds for compound Poisson risks and a normal approximation.
Condorcet et les élections. Avant-propos
Condorcet's theory of voting
Condorcet believed that the purpose of voting is to make a choice that is “best” for society. According to his view, there is one choice that is objectively best, another that is second-best, and so forth. Unfortunately, voters sometimes make mistakes ; they misperceive what is best. In designing a voting rule, therefore, the objective should be to choose the alternative that is most likely to be best. Condorcet solved this problem using a form of maximum likelihood estimation. The procedure that...
Conjoint analysis: an application in eliciting patient's preferences.
Conjugacy in Pattern Recognition and Choice Problems
Conservation laws and symmetry in economic growth models: a geometrical approach.
The aim of the present paper is twofold. On one hand, we present a classification of infinitesimal symmetries for Lagrangian systems, and the corresponding Noether theorems. The derivation of the result is made by using the symplectic techniques. Some of the results were previously obtained by other authors (see Prince (1985) for instance), and an exhaustive presentation can be found in de León and Martín de Diego (1995, 1996). Let us note that these results are true even if the Lagrangian function...
Consistance, complétude et traduction optimale des tables de décision
Consistency-driven approximation of a pairwise comparison matrix
The pairwise comparison method is an interesting technique for building a global ranking from binary comparisons. In fact, some web search engines use this method to quantify the importance of a set of web sites. The purpose of this paper is to search a set of priority weights from the preference information contained in a general pairwise comparison matrix; i.e., a matrix without consistency and reciprocity properties. For this purpose, we consider an approximation methodology within a distance-based...
Consistent price systems for subfiltrations
Asymmetric or partial information in financial markets may be represented by different filtrations. We consider the case of a larger filtration F – the natural filtration of the “model world” – and a subfiltration that represents the information available to an agent in the “real world”. Given a price system on the larger filtration that is represented by a martingale measure Q and an associated numeraire S, we show that there is a canonical and nontrivial numeraire Ŝ such that the price system...
Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
This paper deals with the numerical solution of nonlinear Black-Scholes equation modeling European vanilla call option pricing under transaction costs. Using an explicit finite difference scheme consistent with the partial differential equation valuation problem, a sufficient condition for the stability of the solution is given in terms of the stepsize discretization variables and the parameter measuring the transaction costs. This stability condition is linked to some properties of the numerical...
Constrained and indefinite games and their applications [Book]
Constrained portfolio liquidation in a limit order book model
We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book with resilience that was proposed by Obizhaeva and Wang (2006). We extend their model by allowing for a time-dependent resilience rate, arbitrary trading times, and general equilibrium dynamics for the unaffected bid and ask prices. Our main results...
Construction de rankings dans un tournoi
Construction et étude axiomatique d'une procédure d'agrégation des préférences individuelles
Continu expérimental et continu mathématique