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Solving nonlinear dynamic stochastic models: An algorithm computing value function by simulations
Nonlinear stochastic models Value function Parameterized expectations Monte Carlo simulations Numerical solutions
2015/7/21
This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the ex...
Lost in the Clouds:The Impact of Copyright Scope on Investment in Cloud Computing Ventures
Technological Innovation Venture Capital Online Technology Investment Business Startups
2015/5/12
Our analysis seeks to understand the impact of changes in copyright scope on investment in new firms. We begin by analyzing the investment effects of the Cartoon Network, et al. v. Cablevision decisio...
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
regime switching jump-diffusion models Value at Risk risk management Fourier transform methods.
2012/9/14
In this paper we consider the problem of calculating the quantiles of a risky position,the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transfor...
Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Computing Functionals of Multidimensional Diffusions Monte Carlo Methods Numerical Analysis Computational Finance
2012/4/28
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processe...
A Market Design for Grid Computing
combinatorial call auction fair versus efficient allocation grid computing
2011/10/22
Grid computing uses software to integrate computing resources, such as CPU cycles, storage, network bandwidth, and even applications, across a distributed and heterogeneous set of networked computers....
The Evolution of Contestable Markets: A Computing Simulation
Stochastic Pattern Contestable Computing Simulation
2013/2/23
This paper introduces a computing simulation of the evolution of contestable markets. The results show that the evolving outcome of contestable markets is a monopoly when the market demand is fixed. T...
《Handbook of Game Theory with Economic Applications》Chapter 45 Computing equilibria for two-person games
Handbook of Game Theory with Economic Applications Computing equilibria two-person games
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 45 Computing equilibria for two-person games。
《Handbook of Game Theory with Economic Applications》Chapter 38 Game-theoretic aspects of computing
Handbook of Game Theory with Economic Applications Game-theoretic
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 38 Game-theoretic aspects of computing。
Computing Tails of Compound Distributions Using Direct Numerical Integration
characteristic function compound distribution truncation error
2010/10/29
An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing
high quantiles and conditional Value at Risk (CVaR) of compound distributions using
characteristic funct...