Country: Netherlands

Found 18376 papers in total
Strategic foreign reserves risk management: Analytical framework
Strategic foreign reserves risk management: Analytical framework
2007,
We present an analytical framework for active foreign exchange reserves management...
Credit risk optimization using factor models
Credit risk optimization using factor models
2007,
We study portfolio credit risk management using factor models, with a focus on optimal...
A semi-analytical method for VaR and credit exposure analysis
A semi-analytical method for VaR and credit exposure analysis
2007,
In this paper, we discuss new analytical methods for computing Value-at-Risk (VaR) and...
Coherent multiperiod risk adjusted values and Bellman's principle
Coherent multiperiod risk adjusted values and Bellman's principle
2007,
Starting with a time-0 coherent risk measure defined for ‘value...
Greedy algorithm for the general multidimensional knapsack problem
Greedy algorithm for the general multidimensional knapsack problem
2007,
In this paper, we propose a new greedy-like heuristic method, which is primarily...
A note on the parametric maximum flow problem and some related reoptimization issues
A note on the parametric maximum flow problem and some related reoptimization issues
2007,
In this paper, we will extend the results about the parametric maximum flow problem to...
Shiftable intervals
Shiftable intervals
2007,
Consider a set of n fixed length intervals and a set of n (larger) windows, in...
The location of median paths on grid graphs
The location of median paths on grid graphs
2007,
In this paper we consider the location of a path shaped facility on a grid graph. In...
Estimating parameters in diffusion processes using an approximate maximum likelihood approach
Estimating parameters in diffusion processes using an approximate maximum likelihood approach
2007,
We present an approximate Maximum Likelihood estimator for univariate Itô...
Reformulation of the support set selection problem in the logical analysis of data
Reformulation of the support set selection problem in the logical analysis of data
2007,
The paper is concerned with the problem of binary classification of data records,...
On the prize-collecting generalized minimum spanning tree problem
On the prize-collecting generalized minimum spanning tree problem
2007,
The prize-collecting generalized minimum spanning tree problem (PC-GMSTP), is a...
Adapting support vector machine methods for horserace odds prediction
Adapting support vector machine methods for horserace odds prediction
2007,
The methodology of Support Vector Machine Methods is adapted in a straightforward...
The effect of depreciation allowances on the timing of investment and government tax revenue
The effect of depreciation allowances on the timing of investment and government tax revenue
2007,
We develop a model of the behavior of a potential investor (under uncertainty and in a...
Model combination for credit risk assessment: A stacked generalization approacb
Model combination for credit risk assessment: A stacked generalization approacb
2007,
The development of credit risk assessment models is often considered within a...
A conditional-SGT-VaR approach with alternative GARCH models
A conditional-SGT-VaR approach with alternative GARCH models
2007,
This paper proposes a conditional technique for the estimation of VaR and expected...
Portfolio selection with probabilistic utility
Portfolio selection with probabilistic utility
2007,
Inspired by statistical physics, we present a probabilistic approach to portfolio...
A portfolio-based evaluation of affine term structure models
A portfolio-based evaluation of affine term structure models
2007,
We focus on affine term structure models as tools for active bond portfolio...
Macaulay durations for nonparallel shifts
Macaulay durations for nonparallel shifts
2007,
Macaulay duration is a well-known and widely used interest rate risk measure. It is...
Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
2007,
This paper proposes generalized parametric models of the short-term interest rate that...
Incomplete information equilibria: Separation theorems and other myths
Incomplete information equilibria: Separation theorems and other myths
2007,
The incomplete information financial economic equilibrium (IIE) literature has been...
Interest rate options valuation under incomplete information
Interest rate options valuation under incomplete information
2007,
This paper aims at examining the term structure of interest rates and European-type...
Bounds for in-progress floating-strike Asian options using symmetry
Bounds for in-progress floating-strike Asian options using symmetry
2007,
This paper studies symmetries between fixed and floating-strike Asian options and...
Chromatic scheduling polytopes coming from the bandwidth allocation problem in point-to-multipoint radio access systems
Chromatic scheduling polytopes coming from the bandwidth allocation problem in point-to-multipoint radio access systems
2007,
Point-to-Multipoint systems are a kind of radio systems supplying wireless access to...
Packet scheduling in third-generation mobile systems with UTRA-TDD air interface
Packet scheduling in third-generation mobile systems with UTRA-TDD air interface
2007,
UTRA-TDD is one of the adopted air interfaces for third-generation mobile...
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