# Economy and finance

Back## Cahiers du GERAD

### 183 results — page 9 of 10

On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models

Moody's KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating...

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In Duan, Gauthier and Simonato (1999), analytical formulas to approximate the price European options in the GARCH framework were developed. These formulas a...

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One critical difficulty in implementing Merton’s (1974) credit risk model is that the underlying asset value cannot be directly observed. The model requires...

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We develop a Markov chain pricing method capable of handling several state vari- ables. The Markov chain construction of Duan and Simonato (2000) is modifie...

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We characterize in this paper the credibility of incentive equilibrium strategies for the class of linear-state differential games. We derive a general cond...

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Two methods of analytical approximations for computing the value of a European option on the conditional variance in a GARCH setting are presented. The firs...

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We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...

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This paper deals with time-consistency and agreeability, two dynamic individual rationality concepts, in special linear-quadratic differential games. Condi...

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Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...

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Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...

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The paper identifies conditions under which time-consistency and agreeability, two intertemporal individual rationality concepts, can be verified in linear-s...

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The purpose of this article is to describe several applications of the Clustered Traveling Salesman Problem arising in areas as diverse as vehicle routing, ...

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Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

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The standard way to solve the static economic dispatch problem with transmission losses is the penalty factor method. The problem is solved iteratively by a...

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The paper identifies the strategic effects of learning-by-doing in presence of unintended spillovers of production experience. In a two-stage game an incum...

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Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...

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A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...

BibTeX referenceProbabilistic Satisfiability

A review is made of models and algorithms for probabilistic satisfiability and its extensions. The basic probabilistic satisfiability problem, in decision f...

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Extension of input-output functions for generating units allows simultaneous solution of the static unit commitment and economic dispatch problems by dynami...

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Consider an assignment problem in which persons are qualified for some but usually not all of the jobs. Moreover, assume persons belong to given seniority c...

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