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Simulation of investor behaviour on stock markets using lattice model
in the nexttrading period. The numerical procedure realizing the adopted stochastic discrete time dynamic model is described in details.The paper presents a simple latice model for simulation behaviour of...
AH - Ekonomie
- 2005 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Deterministic and Stochastic Models of Dynamics of Chemical Systems
and stochastic models of the dynamics of a chemical system. The differences of their behaviour are explained and it is shown that the key characteristics of the stochastic model can becomputed using solut...
BA - Obecná matematika
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
Approximations in Stochastic Growth Models
In this note, we consider finite state approximations of the stochastic Ramsey type model in discrete-time version. Recalling standard procedures of stochastic dynamic programming we present explicit formu...
AH - Ekonomie
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Multistage risk-averse asset allocation with transaction costs
stochastic programming models. Dynamic models allow rebalancing the portfolio multiple for its favorable properties, and time consistent model is developed. The stock prices. The stochastic
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- D
Rok uplatnění
D - Stať ve sborníku
Some Remarks on Stochastic Versions of the Ramsey Growth Model
In this note we focus attention on stochastic versions of the Ramsey growth model if either for a given time horizon expected value of the considered utility for finding optimal policy of the "stochasticized" Ramse...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Comparison of multistage stochastic programming and stochastic dynamic programming with discrete time
Comparison of multistage stochastic programming and stochastic dynamic programming with discrete time.
BB - Aplikovaná statistika, operační výzkum
- 2000 •
- Vx
Rok uplatnění
Vx - Nezařazeno - Výzkumná zpráva obsahující utajované informace (takový výsledek lze do RIV vložit pouze v případě, že zpráva obsahuje utajované informace a pole R12 = U), nebo souhrnná výzkumná zpráva
Model dependency of the digital option replication - replication under incomplete model
andScholes model. By contrast the observed price dynamics is supposed to follow four with stochastic volatility driven by Hull and White model, (iii) Variance Gamma model modeled astime changed B...
AH - Ekonomie
- 2006 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Dynamic stochastic programming with discrete time
The finite and infinite horizon problems of dynamic stochastic programs with discrete time are discussed. The backward recursion, the Bellman's equation and the convergence of the optimal solution is described....
BB - Aplikovaná statistika, operační výzkum
- 2001 •
- D
Rok uplatnění
D - Stať ve sborníku
Stochastic Growth Models with No Discounting
In this note, we consider in discrete time the Ramsey growth model without discounting under stochastic uncertainty modelled by Markov processes. To make the model computationally tractable we shall consid...
AH - Ekonomie
- 2007 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
GA-Based Dynamic Lot Sizing under Stochastic Demands
horizon consisting of discrete time periods, dynamic lot sizes, multiple constrained resources, time-varying cost parameters and stochastic demands. The objective a modification of this model for the case...
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- D
Rok uplatnění
D - Stať ve sborníku
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