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The Relationship of Economic Theory to Experiments:Treatment driven Experiments
Relationship of Economic Theory Treatment driven Experiments
2015/7/23
When I interact with colleagues and friends who are venturing into experimental economics, either as they prepare for their own experiment, or aim for a critical view of experiments run by others, I o...
Optimal simulation schemes for Levy driven stochastic differential equations
Levy-driven stochastic differential equations high order discretization schemes weak approximation regular variation
2012/4/28
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by L\'evy processes with infinite activity. These schemes combine a compound Poisson a...
Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
Fractional Brownian motion Insurance reserve process Ito Integral Malliavin derivative Riccati equation
2011/9/7
Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
LIBOR market model L´ evy processes drift term Picard approximation option pricing caps swaptions annuities
2011/7/4
The LIBOR market model is very popular for pricing inter-
est rate derivatives, but is known to have several pitfalls. In addition, if
the model is driven by a jump process, then the complexity of t...
Dynamics of a Service Economy Driven by Random Transactions
banking system Service Economy account balances
2011/3/23
Agents buy and sell services. All services are of equal quality. Buyers choose sellers at random. Monetary and fiscal policies are imposed by a central bank and a central government. Credit is supplie...