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Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
DFA and DMA synthetic long-range time series
2012/9/17
Notwithstanding the signi cant e orts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which cond...
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...
On the Performance of Delta Hedging Strategies in Exponential Lévy Models
Laplace transform approach mean-variance hedging delta hedging Lévy processes model misspecification
2010/11/3
We consider the performance of non-optimal hedging strategies in exponential Lévy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representa...
Finite-Sample Performance of Structural Change Tests in Cointegrated Relationships: A Monte Carlo Analysis
Structural change cointegration central limit theory nonparametric estimation Monte Carlo simulation
2010/9/7
We present Monte Carlo simulation experiments to investigate the finite sample properties of structural change tests in cointegrated relationships. These tests are computed using three alternative eff...
THE PERFORMANCE OF AUCTION HOUSES SELLING PICASSO PRINTS
Performance auction house Picasso prints hedonic price benchmarking best practice DEA
2014/6/25
It has been observed that similar prints can obtain quite different prices at different auctions within the same auction period. Previous works applying hedonic price technique to determine the format...