Results 1 to 10 of about 48,655 (263)
Indirect Inference: Which Moments to Match? [PDF]
Econometrics, 2019 The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating equations.
David T. Frazier, Eric Renault
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Modelling variability in cardiac electrophysiology: a moment-matching approach [PDF]
Journal of the Royal Society Interface, 2017 Blanca Rodríguez +2 more
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On Moment Matching for Stochastic Systems [PDF]
IEEE Transactions on Automatic Control, 2022 In this paper we study the problem of model reduction by moment matching for stochastic systems. We characterize the mathematical object which generalizes the notion of moment to stochastic differential equations and we find a class of models which achieve moment matching.
Giordano Scarciotti, Andrew R. Teel
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Implementation of variance reduction techniques applied to the pricing of investment certificates [PDF]
Risk Management Magazine, 2023 Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy.
Anna Bottasso +3 more
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IMPLEMENTATION OF MONTE CARLO MOMENT MATCHING METHOD FOR PRICING LOOKBACK FLOATING STRIKE OPTION
Barekeng, 2022 Monte Carlo method was a numerical method that was popular in finance. This method had disadvantages at convergences, so the moment matching was used to improve the efficiency from Monte Carlo method.
Komang Nonik Afsari Dewi +2 more
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An Approximate Closed Formula for European Mortgage Options
Trends in Computational and Applied Mathematics, 2023 The aim of this paper is to investigate the use of close formula approximation for pricing European mortgage options. Under the assumption of logistic duration and normal mortgage rates the underlying price at the option expiry is approximated by ...
A. M. Lopez Galvan
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Moment Evolution Equations and Moment Matching for Stochastic Image EPDiff [PDF]
Journal of Mathematical Imaging and Vision, 2022 Models of stochastic image deformation allow study of time-continuous stochastic effects transforming images by deforming the image domain. Applications include longitudinal medical image analysis with both population trends and random subject specific variation.
Alexander Mangulad Christgau +2 more
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Applied Sciences, 2021 In simulations of three-dimensional transient physics filled through a numerical approach, the order of the equation set of high-fidelity models is extremely high.
Ning Wang +3 more
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Optimal H2 Moment Matching-Based Model Reduction for Linear Systems through (Non)convex Optimization
Mathematics, 2022 In this paper, we compute a (local) optimal reduced order model that matches a prescribed set of moments of a stable linear time-invariant system of high dimension. We fix the interpolation points and parametrize the models achieving moment-matching in a
Ion Necoara, Tudor-Corneliu Ionescu
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Recalibration of LBM Populations for Construction of Grid Refinement with No Interpolation
Fluids, 2023 Grid refinement is used to reduce computing costs while maintaining the precision of fluid simulation. In the lattice Boltzmann method (LBM), grid refinement often uses interpolated values.
Arseniy Berezin +3 more
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