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Numerical Techniques

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0016
Subject:
Economics and Finance, Financial Economics

Numerical procedures — computer-implemented algorithms — have to be applied in order to price assets with early exercise features and assets with complicated payoff structures. This chapter ... More


Econometric Tools and Techniques

David F. Hendry

in Dynamic Econometrics

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198283164
eISBN:
9780191596384
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198283164.003.0003
Subject:
Economics and Finance, Econometrics

Least squares and recursive methods for estimating the values of unknown parameters and the logic of testing in empirical modelling, are discussed. The tools needed for investigating the properties ... More


Quantifying Uncertainty in Net Primary Production Measurements

Mark E. Harmon, Donald L. Phillips, John J. Battles, Andrew Rassweiler, Robert O. Hall Jr., and William K. Lauenroth

in Principles and Standards for Measuring Primary Production

Published in print:
2007
Published Online:
September 2007
ISBN:
9780195168662
eISBN:
9780199790128
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195168662.003.0012
Subject:
Biology, Ecology

Because primary production usually is estimated from several variables that are themselves subject to error in measurement, these errors propagate as the variables are combined mathematically. ... More


The Stochastic Simulation Method

Heinz-Peter Breuer and Francesco Petruccione

in The Theory of Open Quantum Systems

Published in print:
2007
Published Online:
February 2010
ISBN:
9780199213900
eISBN:
9780191706349
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199213900.003.07
Subject:
Physics, Theoretical, Computational, and Statistical Physics

The formulation of the dynamics of open quantum systems by means of stochastic processes in Hilbert space leads to efficient Monte–Carlo simulation techniques which are introduced and examined in ... More


Co‐Integration in Individual Equations

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print:
1993
Published Online:
November 2003
ISBN:
9780198288107
eISBN:
9780191595899
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288107.003.0007
Subject:
Economics and Finance, Econometrics

Examines methods of testing for co‐integration in single equations via static regressions, and provides simulation estimates of the percentiles of the distributions of statistics used in these tests. ... More


Lattice QCD at non-zero temperature and baryon density

Owe Philipsen

in Modern Perspectives in Lattice QCD: Quantum Field Theory and High Performance Computing: Lecture Notes of the Les Houches Summer School: Volume 93, August 2009

Published in print:
2011
Published Online:
January 2012
ISBN:
9780199691609
eISBN:
9780191731792
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199691609.003.0005
Subject:
Physics, Theoretical, Computational, and Statistical Physics

This chapter gives an introduction to lattice QCD at finite temperature and baryon density. After a discussion of some fundamental aspects and difficulties of quantum field theory at finite ... More


Econometrics: Alchemy or Science?: Essays in Econometric Methodology

David F. Hendry

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.001.0001
Subject:
Economics and Finance, Econometrics

This collection of published papers records the development of an approach to econometric modelling that has reached a highly successful stage. The methodology of modelling ‘observational data’, as ... More


Multivariate Autocontours for Specification Testing in Multivariate GARCH Models *

González‐Rivera Gloria and Emre Yoldas

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0011
Subject:
Economics and Finance, Econometrics

This chapter develops a new set of specification tests for multivariate dynamic models based on the concept of autocontours. The chapter is organized as follows. Section 2 describes the battery of ... More


An Automatic Test of Super Exogeneity *

David F. Hendry and Carlos Santos

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0009
Subject:
Economics and Finance, Econometrics

This chapter proposes a test for ‘super exogeneity’, a concept originally developed by Rob, David, and Jean-Francois Richard. The structure of the chapter is as follows. Section 2 reconsiders which ... More


AUTOREG: A Computer Program Library for Dynamic Econometric Models With Autoregressive Errors

David F. Hendry and Frank Srba

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0015
Subject:
Economics and Finance, Econometrics

Keeping econometrics operational with suitable computer programs that implement new methods and approaches is essential. The evolution of AUTOREG follows the methodological developments, from ... More


Properties of Integrated Processes

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print:
1993
Published Online:
November 2003
ISBN:
9780198288107
eISBN:
9780191595899
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288107.003.0003
Subject:
Economics and Finance, Econometrics

Presents the important properties of integrated variables and sets out some of the preliminary asymptotic theories essential for the consideration of such processes. It explores the concepts of unit ... More


Measuring Vulnerability to Poverty

Gisele Kamanou and Jonathan Morduch

in Insurance Against Poverty

Published in print:
2004
Published Online:
January 2005
ISBN:
9780199276837
eISBN:
9780191601620
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199276838.003.0009
Subject:
Economics and Finance, Development, Growth, and Environmental

A method based on Monte Carlo bootstrap estimations of consumption changes was developed to measure vulnerability to poverty. The method was applied to data on Cote d’Ivoire in 1985-86. It revealed ... More


Introduction and Overview

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print:
1993
Published Online:
November 2003
ISBN:
9780198288107
eISBN:
9780191595899
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288107.003.0001
Subject:
Economics and Finance, Econometrics

Serves as an introductory overview for the rest of the book, and outlines its main aims. As a basis for the following chapters, an overview and clarification of equilibrium relationships in economic ... More


The Physics of Shower Development

Richard Wigmans

in Calorimetry: Energy Measurement in Particle Physics

Published in print:
2017
Published Online:
January 2018
ISBN:
9780198786351
eISBN:
9780191828652
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198786351.003.0002
Subject:
Physics, Particle Physics / Astrophysics / Cosmology, Nuclear and Plasma Physics

The processes that play a role in the absorption of different types of particles in dense matter are described, with emphasis on the aspects that are important for calorimetry. A distinction is made ... More


Introduction to Probability and Random Variables

M. Vidyasagar

in Hidden Markov Processes: Theory and Applications to Biology

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691133157
eISBN:
9781400850518
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691133157.003.0001
Subject:
Mathematics, Probability / Statistics

This chapter provides an introduction to probability and random variables. Probability theory is an attempt to formalize the notion of uncertainty in the outcome of an experiment. For instance, ... More


Valuation of Mortgage-Backed Securities

Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy

in The Handbook of Mortgage-Backed Securities: 7th Edition

Published in print:
2016
Published Online:
October 2016
ISBN:
9780198785774
eISBN:
9780191827594
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198785774.003.0024
Subject:
Economics and Finance, Financial Economics, Macro- and Monetary Economics

This chapter describes and illustrates the elements and mechanics of valuing mortgage-backed securities (MBS). It begins with the basics of valuation and then briefly reviews the sources of MBS ... More


Ensembles in Classical Statistical Mechanics

Robert H. Swendsen

in An Introduction to Statistical Mechanics and Thermodynamics

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199646944
eISBN:
9780191775123
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199646944.003.0019
Subject:
Physics, Condensed Matter Physics / Materials

This chapter resumes the discussion of classical statistical mechanics that was begun in Part 1 of the book. Numerical methods (molecular dynamics and Monte Carlo computer simulations) of calculating ... More


Worshiping Computers

Gary Smith and Jay Cordes

in The 9 Pitfalls of Data Science

Published in print:
2019
Published Online:
September 2019
ISBN:
9780198844396
eISBN:
9780191879937
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198844396.003.0005
Subject:
Mathematics, Applied Mathematics, Numerical Analysis

Computer software, particularly deep neural networks and Monte Carlo simulations, are extremely useful for the specific tasks that they have been designed to do, and they will get even better, much ... More


Estimating Probabilities

Diana B. Petitti

in Meta-Analysis, Decision Analysis, and Cost-Effectiveness Analysis

Published in print:
1999
Published Online:
September 2009
ISBN:
9780195133646
eISBN:
9780199863761
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195133646.003.10
Subject:
Public Health and Epidemiology, Public Health, Epidemiology

This chapter describes how to select probability estimates for a decision analysis and how to justify the choice of probabilities. Because decision analytic models are often the basis for ... More


Interacting Fermi Gases and the BCS–BEC Crossover

Lev Pitaevskii and Sandro Stringari

in Bose-Einstein Condensation and Superfluidity

Published in print:
2016
Published Online:
March 2016
ISBN:
9780198758884
eISBN:
9780191818721
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198758884.003.0016
Subject:
Physics, Condensed Matter Physics / Materials

This is the first of a series of chapters devoted to interacting Fermi gases, with special focus here on the effects of superfluidity. It starts with a brief discussion of the ideal Fermi gas and ... More


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