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Cleur, Eugene M.; Manfredi, Piero

doi:10.1023/a:1008679025757

Cited by 4 publications

(1 citation statement)

References 13 publications

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“…Entre los trabajos que han explorado las alternativas para la generación de números aleatorios se encuentran Joy et al (1996), Boyle et al (1998), Douady (1998), Dupire y Savine (1998) y Seydel (2009). Y entre las investigaciones referentes a los procedimientos de discretización de procesos estocásticos se encuentran Renshaw (1987), Chan et al (1992), Cleur y Manfredi (1999) El propósito de este trabajo consiste en examinar los diferentes métodos para discretizar las ecuaciones diferenciales estocásticas asociadas a procesos en el tiempo continuo de uso más común y llevar a cabo la simulación Monte Carlo. Para ello se examinan el método de Euler, el método de Milstein y el método exacto; en los tres casos los procedimientos se aplican a la simulación de la variación del tipo de cambio a través del movimiento geométrico browniano y el proceso Ornstein-Uhlenbeck.…”

Section: Introductionunclassified

Métodos no lineales en series económicas y/o financieras

Bonilla Meléndez,

Coronado Ramirez,

Franco Cardona

et al. 2012

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La modelación de las series de tiempo aplicadas a las finanzas y la economía es un campo de estudio joven, pero que ha evolucionado mucho en pocos años. La continua aparición de técnicas de análisis ha hecho que el análisis de series de tiempo pueda ser considerado un campo de estudio independiente, sobre todo por el interés de modelar las series para generar pronósticos a partir de la información contenida en ellas. El presente libro muestra diversos ejemplos de rutas metodológicas y aplicaciones que actualmente son materia de estudio en este interesante campo.

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Section: Introductionunclassified

Métodos no lineales en series económicas y/o financieras

Bonilla Meléndez,

Coronado Ramirez,

Franco Cardona

et al. 2012

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Emissions of greenhouse gases attributable to the activities of the land transport: modelling and analysis using I‐CIR stochastic diffusion—the case of Spain

2007

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SUMMARYIn this study, carried out on the basis of the conclusions and methodological recommendations of the Fourth Assessment Report (2007) of the International Panel on Climate Change (IPCC), we consider the emissions of greenhouse gases (GHG), and particularly those of CO 2 , attributable to the activities of land transport, for all sectors of the economy, as these constitute a significant proportion of total GHG emissions. In particular, the case of Spain is an example of a worrying situation in this respect, both in itself and in the context of the European Union. To analyse the evolution, in this case, of such emissions, to enable medium-term forecasts to be made and to obtain a model that will enable us to analyse the effects of possible corrector mechanisms, we have statistically fitted a inverse Cox-Ingersoll-Ross (I-CIR) type nonlinear stochastic diffusion process, on the basis of the real data measured for the period 1990-2004, during which the Kyoto protocol has been applicable. We have studied the evolution of the trend of these emissions using estimated trend functions, for which purpose probabilistic complements such as trend functions and stationary distribution are incorporated, and a statistical methodology (estimation and asymptotic inference) for this diffusion, these tools being necessary for the application of the analytical methodology proposed.

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Mathematical and Statistical Methods in Insurance and Finance

Perna¹,

Sibillo²

2008

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PrefaceThe MAF2006 Conference, organized at the University of Salerno, represents the prosecution of the first edition, held in 2004 also at the Campus of Fisciano, and was developed on the basis of cooperation between mathematicians and statisticians working in insurance and finance fields.The idea arises from the belief that the interdisciplinary approach can improve research on these topics, and the proof of this is that interest in this guideline has evolved and been re-enforced.The Conference aims at providing state of the art research in development, implementation and real word applications of statistical and mathematical models in actuarial and finance sciences, as well as for discussion of problems of national and international interest.These considerations imply the strengthening of the involved methods and techniques towards the purpose, shared by an increasing part of the scientific community, of the integration between mathematics and statistics applied in finance and insurance fields.The Conference was open to both academic and non-academic communities from universities, insurance companies and banks, and it was specifically designed to contribute to fostering the cooperation between practitioners and theoreticians in the field.About 100 researchers attended the Conference and a total of 9 contributed sessions and 4 organized sessions, containing more than 50 communications, were accepted for presentation. The extended abstracts are available on

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Untitled

Cited by 4 publications

References 13 publications

Métodos no lineales en series económicas y/o financieras

Métodos no lineales en series económicas y/o financieras

Emissions of greenhouse gases attributable to the activities of the land transport: modelling and analysis using I‐CIR stochastic diffusion—the case of Spain

Mathematical and Statistical Methods in Insurance and Finance

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