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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.

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English / 01/01/1993

The Implementation of the Hybrid Cell

Cell, a model for strongly Distributed Object Based systems is discussed. Its components, the nucleus and the membrane, are presented and their characteristics are described. The notions of trading and type transparency in the context of the Cell model are described and issues related to their design and implementation are presented.

Institution partenaire

Université de Genève

Full Text

English / 01/01/1992

Temporäre Arbeit und Personalverleih

Institution partenaire

Université de Genève

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Deutsch / 01/01/1991

Six Spaces for Global Information Systems Design

We introduce a model for information systems specification which covers the spaces of data, semantic contexts, events, objects life-cycle, integrity constraints, and operating periods. For each one of these space we define a structure and its interpretation that allow to specify this particular aspect of the system. In this approach data and event structures are independent. It is…

Institution partenaire

Université de Genève

Full Text

English / 01/01/1991

Integrating Concurrency and Object-Oriented Programming: An Evaluation of Hybrid

In this paper we address the effective use of the object-oriented programming approach for concurrent programming from a language design viewpoint. We present a set of requirements for the design of concurrent object-oriented languages. We then use a particular language, Hybrid, as a concrete example and examine to what extent its features meet these requirements. We identify the…

Institution partenaire

Université de Genève

Full Text

English / 01/01/1990

ECRINS/86: An Extended Entity-Relationship Data Base Management System and its Semantic Query Language

We propose a DBMS the data model of which is an extension of the Entity-Relationship model of Chen. The main extensions include the specialization and generalization concepts of Smith & Smith and the possibility to define relationships between relationships. In addition we extend the concept of a role in a relationship, to a multi-valued role which enables to associate a set of…

Institution partenaire

Université de Genève

Full Text

English / 01/01/1986

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