Results 131 to 140 of about 884,568 (273)
Life Cycle Consumption and Portfolio Choice Under Real Interest Rate Risk
Financial Management, EarlyView.ABSTRACT We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption.
Marcel Fischer, Natascha Jankowski
wiley +1 more source
A Generalised Quadrature Using Clenshaw-Curti’s Quadrature Rule
International audienceAmong the various classical quadrature rules, some of the most widely used are the Trapezoidal Rule, Simpson’s Rule, Newton–Cotes Rules, Clenshaw–Curtis Quadrature Rule, and Gauss–Legendre Quadrature Rule.
Mohanty, Sanjit Kumar
core
Quadrature Rule for a Double-pole Singular Integral
, 1994 An accurate quadrature rule for a double-pole Singular integral which appears in incompressible lifting surface theory is ...
Bera, Rajendra K
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Appraisal of Six Natural Mica Reference Materials for In Situ Rb‐Sr Geochronology
Geostandards and Geoanalytical Research, EarlyView.Key Points Evaluated six natural mica reference materials for in situ LA‐ICP‐MS/MS Rb‐Sr geochronology using geochemical, microstructural and isotopic characterisation. Identified robust primary reference materials: Mount Dromedary biotite (99.37 Ma) and Mica‐Fe biotite (307.75 Ma). La Posta biotite and Högsbo muscovite are suitable secondary reference
Hugo K.H. Olierook +38 more
wiley +1 more source
Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
, 2020 Keywords: Atomistic models Quasicontinuum method Quadrature-rule type approximation Long-range interactions Coulomb potential a b s t r a c t A quadrature-rule type method is presented to approximate the quasicontinuum method for atomistic mechanics. For
Max Gunzburger, Yanzhi Zhang
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Mixing It Up: Inflation at Risk
Journal of Money, Credit and Banking, EarlyView.Abstract Understanding how risk factors shape the economic outlook is essential for guiding policy decisions. This paper develops a flexible framework that decomposes distributional risk forecasts of macro‐economic variables into underlying contributions and supports the construction of interpretable risk measures.
MAXIMILIAN SCHRÖDER
wiley +1 more source
Anti-Gaussian quadrature rule for trigonometric polynomials
, 2018 An anti-Gaussian quadrature formula is an (n+1)-point formula with algebraic degree of exactness 2n + 1. Its error is equal in magnitude but of opposite sign to that of the n-point Gaussian formula.
Petrovic, Nevena +2 more
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The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube
Journal of Economic Surveys, EarlyView.ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng +2 more
wiley +1 more source
Dynamic capital allocation in general insurance
Journal of Risk and Insurance, EarlyView.Abstract This paper provides a model for allocating capital to different insurance lines with varying development periods for a value‐maximizing insurance company. In our model, the company makes capitalization and exposure decisions considering its capital level and its relevant loss history.
Qiheng Guo +2 more
wiley +1 more source