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1.
模糊数学,随机数学与精确数学的逻辑比较 总被引:2,自引:0,他引:2
本文揭示模糊数学,随机数学与精确数学有相似的形式公理化描述,它们的区别只在语义上。 相似文献
2.
带息力更新风险模型的一个极值分布 总被引:3,自引:0,他引:3
本文讨论了带息力的更新风险模型,得到了破产前最大盈余分布的递推公式,且在此基础上还给出了它满足的积分方程. 相似文献
3.
In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous analysis of evolution of baskets parameterized by complex variables in both continuous and discrete time models. 相似文献
4.
This paper investigates the topological properties of the Brazilian term structure of interest rates network. We build the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for interest rates of different maturities. We show that the short-term interest rate is the most important within the interest rates network, which is in line with the Expectation Hypothesis of interest rates. Furthermore, we find that the Brazilian interest rates network forms clusters by maturity. 相似文献
5.
Simple ingredients leading to very efficient heuristics for the maximum clique problem 总被引:2,自引:0,他引:2
Starting from an algorithm recently proposed by Pullan and Hoos, we formulate and analyze iterated local search algorithms
for the maximum clique problem. The basic components of such algorithms are a fast neighbourhood search (not based on node
evaluation but on completely random selection) and simple, yet very effective, diversification techniques and restart rules.
A detailed computational study is performed in order to identify strengths and weaknesses of the proposed algorithms and the
role of the different components on several classes of instances. The tested algorithms are very fast and reliable: most of
the DIMACS benchmark instances are solved within very short CPU times. For one of the hardest tests, a new putative optimum
was discovered by one of our algorithms. Very good performances were also shown on recently proposed and more difficult instances.
It is important to remark that the heuristics tested in this paper are basically parameter free (the appropriate value for
the unique parameter is easily identified and was, in fact, the same value for all problem instances used in this paper). 相似文献
6.
Abigail Jiménez 《Physica A》2011,390(11):2146-2154
In this work, we analyse the long-run correlations of the seismic catalogue and of its clusters, by means of the Diffusion Entropy Analysis (DEA) and the value of the Hurst exponent. First we calculate the values for the whole catalogue, for the rate and the inter-event times and distance distribution over time, and subsequently we calculate the values for the declustered catalogue and the main clusters. We find a wide variety of behaviours, which depart from the Poisson statistics. 相似文献
7.
本文在经典风险模型的基础上,将索赔到达过程推广为更新过程,索赔可以批量到达,且带有常数利息力和Brown运动干扰项,得到一个新的风险模型,运用Markov骨架过程的方法,得出盈余过程的瞬时分布和生存概率. 相似文献
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9.
Hedging interest rate exposures using interest rate futures contracts requires some knowledge of the volatility function of the interest rates. Use of historical data as well as interest rate options like caps and swaptions to estimate this volatility function have been proposed in the literature. In this paper the interest rate futures price is modelled within an arbitrage-free framework for a volatility function which includes a stochastic variable, the instantaneous spot interest rate. The resulting system is expressed in a state space form which is solved using an extended Kalman filter. The residual diagnostics indicate suitability of the model and the bootstrap resampling technique is used to obtain small sample properties of the parameters of the volatility function. 相似文献
10.
The New Keynesian model has recently been subject to two serious criticisms: the model cannot produce plausible inflation and output dynamics following a monetary shock, and the stability of its dynamics suffers from indeterminacy. The procedures that have been proposed to eliminate these two shortcomings fall into two categories: the introduction of some sort of backward price indexation into the standard model and/or other forms of stickiness (like sticky information); and the adoption of some form of policy rule that completely offsets the effects of forward looking dynamics in the optimization process. In this paper we do not eradicate forward looking behavior from the dynamics of the New Keynesian model, neither do we impose some form of backward price indexation. We assume that private economic agents have forward looking behavior and that they do try to optimize with all available information; the only novelty is that they are allowed to make small mistakes near the rational expectations equilibrium, in a fully deterministic setup. These “near rational” or “bounded rational” expectations show that the dynamics of the model with active interest rate rules is much richer than the simple problem of local indeterminacy as is usually found in the literature. 相似文献