Su, SW; Anderson, B; brinsmead, TS(Kluwer Academic Publishers, 2001-01)
S. W. Su, B. D. O. Anderson, and T. S. Brinsmead. Constant disturbance rejection and zero steady state tracking error for nonlinear systems design, In Biswa Datta, editor, Applied computational control, signals, and circuits ...
Computing the probability for a given diffusion process to stay under a particular boundary is crucial in many important applications including pricing financial barrier options and defaultable bonds. We discuss results ...
Understanding the long term relationship between the yields afrisky and riskless bonds is a critical tusk for portfolio managers and policy makers. This study specifies an equilibrium correction model of the credit spreads ...
Ringle, C; Sarstedt, M; Schlittgen, R(Springer, 2010-01)
When applying structural equation modeling methods, such as partial least squares (PLS) path modeling, in empirical studies, the assumption that the data have been collected from a single homogeneous population is often ...
In the lognormal forward Market model (LFM) framework, the specification for time-deterministic instantaneous volatility functions for state variable forward rates is required. In reality, only a discrete number of forward ...
The well-known absence-of-arbitrage condition NFLVR from the fundamental theorem of asset pricing splits into two conditions, called NA and NUPBR. We give a literature overview of several equivalent reformulations of NUPBR; ...
Over the past decade, international business and international management researchers have utilized meta-analytic approaches to synthesizing findings in the extant literature. This chapter reviews the studies published in ...
An explicit formula for ruin probability in a discrete time risk model with interest rare is found under the assumption that claims follow a hyperexponential distribution.
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable ...
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable ...
In this paper we consider optimal trading processes in economic systems. The analysis is based on accounting for irreversibility factor using wealth function concept.
Two extensions of the classical scheduling model with two parallel identical machines and a partially ordered set of unit execution time tasks are considered. It is well known that the Coffman-Graham algorithm constructs ...
The credit spread represents the difference in the yields between different risk or ratings classes of securities with the same maturity. The objective of this study is to provide an understanding of the distributional ...
The context for this article is a continuous financial market consisting of a risk-free savings account and a single non-dividend-paying risky security. We present two concrete models for this market, in which strict local ...
This discussion revisits Tong and Lim's seminal 1980 paper on the SETAR model in the context of advances in computation since that time. Using the Canadian lynx data set from that paper, it compares exact maximum likelihood ...