Stochastic dynamical systems arise in many scientific fields, such as asset prices in financial markets, neural activity in ...

This is a preview. Log in through your library . Abstract (1) Spatial processes in an acarine predator-prey system were simulated by a stochastic population model. (2) The model describes interactions ...

Erkyihun S.T., E Zagona, B. Rajagopalan, (2017). “Wavelet and Hidden Markov-Based Stochastic Simulation Methods Comparison on Colorado River Streamflow,” Journal of Hydrologic Engineering 2017, 22(9): ...

We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply ...

A computationally feasible method for the full information maximum-likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is ...

This paper documents the specification of a model that was constructed to assess debt sustainability in emerging market economies. Key features of the model include external and fiscal sectors, which ...

This course is compulsory on the MSc in Operations Research & Analytics. This course is not available as an outside option to students on other programmes. The course covers theory including the ...

Peter Friz, Paolo Pigato and Jonathan Seibel propose a modification of a given stochastic volatility model ‘backbone’ capable of producing extreme short-dated implied skews, without adding jumps or ...