infonet-economy

The accuracy and speed of numerical methods for computing the moments of a ratio of quadratic forms in normal variables is examined, with particular application to the sample autocorrelation function. Methods based on a saddlepoint approximation are demonstrated to be not only superior to existing approximations, but are numerically reliable and virtually as accurate as the method...

This paper presents the combination of two well established principles: the CO-OPN synchronisation mechanism, and the Merlin and Farber time Petri nets. Real-time synchronised Petri nets systems are then defined such that a Petri net is an object that can ask to be synchronised with another net, and whose transition firing is constrained by relative time intervals. Our proposal...

Optimal operation of network based multimedia applications requires a precise specification of the network parameters. Different models have been used in the past in calculating the behavior of the network and defining parameters like throughput and delays of packets, using among others fluid analogy. In this paper we extend the bundled packet level perspective towards the...

We identify and characterize a class of term structure models where bond yields are quadratic functions of the state vector. We label this class the quadratic class and aim to lay a solid theoretical foundation for its future empirical application. We consider asset pricing in general and derivative pricing in particular under the quadratic class. We provide two general transform...

We study the relation of financial development and the pace of technological advance in a dynamic agency theoretic model. A firm which is financed by outside shareholders but run by managers has the prospect of a process innovation which arrives stochastically. Adopting the innovation requires firing old management and hiring new with skills appropriate for the new technique. We show...