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Assessing gains from parallel computation on a supercomputer
Assess super computer information transmission the computational efficiency
2015/7/21
We assess gains from parallel computation on Backlight supercomputer. The information transfers are expensive. We find that to make parallel computation efficient, a task per core must be sufficiently...
Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
Comparison Two Numerical Methods American Type of the Floating Strike Asian Option
2011/7/4
We present a numerical approach for solving the free bound-
ary problem for the Black-Scholes equation for pricing American style
of floating strike Asian options. A fixed domain transformation of t...
The computation of Greeks with multilevel Monte Carlo
Monte Carlo pathwise sensitivities Likelihood Ratio Method
2011/3/23
We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduces the payoff's smoot...
Efficient Computation of Optimal Trading Strategies
Efficient Computation Optimal Trading Strategies
2010/10/21
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algor...
Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Cointegrated Vector Autoregression -stable Approximate Bayesian Computation
2010/10/21
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in...
Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance
computational methods minimal lattice-subspaces vector sublattices
2010/10/20
In this article we perform a computational study of Polyrakis algorithms presented in [12,13]. These algorithms are used for the determination of the vector sublattice and the minimal lattice-subspac...
Quantum Neural Computation for Option Price Modelling
Option price modelling Quantum neural computation nonlinear Schr¨odinger equations leverage effect bidirectional associative memory
2010/10/29
We propose a new cognitive framework for option price modelling, using quantum
neural computation formalism. Briefly, when we apply a classical nonlinear neuralnetwork
learning to a linear quantum S...