Country: Netherlands

Found 18376 papers in total
Selecting an optimal portfolio of consumer loans by applying the state preference approach
Selecting an optimal portfolio of consumer loans by applying the state preference approach
2005,
Internal models like CreditMetrics and Kealhofer–McQuown–Vasicek (KMV),...
Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach
Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach
2005,
We study a dynamic portfolio management problem over a finite horizon with transaction...
A GARCH option pricing model with α-stable innovations
A GARCH option pricing model with α-stable innovations
2005,
We develop an option pricing model which is based on a GARCH asset return process with...
The pricing of options on an interval binomial tree. An application to the DAX-index option market
The pricing of options on an interval binomial tree. An application to the DAX-index option market
2005,
This paper implements a model setup in Mussioli and Torricelli for deriving implied...
Hedging effectiveness of stock index futures
Hedging effectiveness of stock index futures
2005,
The paper is concerned with the efficiency of hedging stock portfolios using futures...
Indeterminacy in portfolio selection
Indeterminacy in portfolio selection
2005,
This paper develops the indeterminacy in “portfolio selection” putting...
Extensions of the Ho and Lee interest-rate model to the multinomial case
Extensions of the Ho and Lee interest-rate model to the multinomial case
2005,
The paper presents a state dependent multinomial model of intertemporal changes in the...
Testing robustness in calibration of stochastic volatility models
Testing robustness in calibration of stochastic volatility models
2005,
Many numerical aspects are involved in parameter estimation of stochastic volatility...
Optimal portfolio selection and dynamic benchmark tracking
Optimal portfolio selection and dynamic benchmark tracking
2005,
This paper analyzes different approaches to portfolio selection when the requirement...
Credit risk analysis of mortgage loans: An application to the Italian market
Credit risk analysis of mortgage loans: An application to the Italian market
2005,
The valuation of financial instruments in which both credit risk and interest rate...
On pricing of credit spread options
On pricing of credit spread options
2005,
This paper describes and analyses different pricing models for credit spread options...
The LIBOR model dynamics: Approximations, calibration and diagnostics
The LIBOR model dynamics: Approximations, calibration and diagnostics
2005,
In this paper we consider several parametric assumptions for the instantaneous...
How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
2005,
How did the Federal Reserve Bank react to the stock market bubble of the late 1990s?...
Profitability of a sample of Portuguese bank branches and its decomposition into technical and allocative components
Profitability of a sample of Portuguese bank branches and its decomposition into technical and allocative components
2005,
The efficiency literature, both using parametric and non-parametric methods, has been...
FALCADE: a fuzzy software for the energy and environmental balances of products
FALCADE: a fuzzy software for the energy and environmental balances of products
2004,
It is generally well known that the reliability of Life Cycle Analysis (LCA) studies...
Simulated response to harvesting strategies in an exploited ecosystem in the southwestern Gulf of Mexico
Simulated response to harvesting strategies in an exploited ecosystem in the southwestern Gulf of Mexico
2004,
The impact of some optimized harvesting strategies on ecosystem structure was...
Optimal management scenarios for the artisanal fisheries in the ecosystem of La Paz Bay, Baja California Sur, Mexico
Optimal management scenarios for the artisanal fisheries in the ecosystem of La Paz Bay, Baja California Sur, Mexico
2004,
In La Paz Bay, two artisanal fisheries operate, one based on hook-and-line, targeting...
Network optimization model implies strength of average mutual information in ascendency
Network optimization model implies strength of average mutual information in ascendency
2004,
Ulanowicz's ascendency (A) index of community growth and development is based, in...
Integrating process optimization and inventory planning in cutting-stock with skiving option: An optimization model and its application
Integrating process optimization and inventory planning in cutting-stock with skiving option: An optimization model and its application
2005,
We consider a two-stage flow line where the first stage produces components for the...
Population dynamics of a tropical palm: use of a genetic algorithm for inverse parameter estimation
Population dynamics of a tropical palm: use of a genetic algorithm for inverse parameter estimation
2004,
The tropical palm species Iriartea deltoidea is an important resource in Amazonian...
A new adaptive system approach to predator–prey modeling
A new adaptive system approach to predator–prey modeling
2004,
A computable general equilibrium approach can effectively model adaptive ecological...
Optimization of artificial neural network (ANN) model design for prediction of macroinvertebrates in the Zwalm river basin (Flanders, Belgium)
Optimization of artificial neural network (ANN) model design for prediction of macroinvertebrates in the Zwalm river basin (Flanders, Belgium)
2004,
To meet the requirements of the EU Water Framework Directive, models are useful to...
A special-purpose computer for exploring similar protein sequences by the dynamic programming method
A special-purpose computer for exploring similar protein sequences by the dynamic programming method
2004,
We built a special-purpose computer for exploring similar protein sequences by the...
Runs tests for assessing volatility forecastability in financial time series
Runs tests for assessing volatility forecastability in financial time series
2005,
In this work we refine a nonparametric methodology first applied by Christoffersen and...
Papers per page: