Journal articles: 'Finance – Mathematical models – Swaziland'

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Byrne, Patrick, S. D. Howison, F. P. Kelly, and P. Wilmott. "Mathematical Models in Finance." Statistician 45, no. 3 (1996): 389. http://dx.doi.org/10.2307/2988481.

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Busika, Themba, and Muhammad Hoque. "An investigation into the best approach to the implementation of Basel II in Swaziland." Banks and Bank Systems 12, no. 4 (December 18, 2017): 131–43. http://dx.doi.org/10.21511/bbs.12(4-1).2017.02.

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After the exposition of the Basel I Capital Accord weaknesses, the advent of the Basel II Capital Framework profoundly redefined global banking regulation and risk management practices. Many African countries had been lethargic on the migration to Basel for various reasons, amongst many being lack of skills and infrastructure. The purpose of this study was to investigate the prospect of migrating from the 1988 Basel I Capital Accord to the Basel II Capital Framework and to analyze the best approach to the implementation of the new framework in Swaziland. This was a qualitative study conducted using semi-structured interview among risk managers from the four banks operated in Swaziland. The researchers also analyzed internal regulatory documents to determine their suitability and compliance to the Basel II standards. The results showed that the adoption and implementation of Basel II are a complex and resource intensive undertaking that requires strong commitment from policy decision makers. The complex models used in the later Basel capital accords have the potential to be unattainable for emerging economies, while the risk of doing business is ever increasing with exotic banking products being introduced. Background work remains the daunting outstanding undertaking that the Central Bank must get ready to do and complete timeously and efficiently. Implementation prerequisites include aligning supervision practices with the 29 Basel Core Principles for Effective Banking Supervision, revising the current legislation to address existing regulatory weaknesses and recruiting and training human resources for efficient and effective rollout.

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CARMONA, RENÉ, and SERGEY NADTOCHIY. "TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION." International Journal of Theoretical and Applied Finance 14, no. 01 (February 2011): 107–35. http://dx.doi.org/10.1142/s0219024911006280.

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Motivated by the desire to integrate repeated calibration procedures into a single dynamic market model, we introduce the notion of a "tangent model" in an abstract set up, and we show that this new mathematical paradigm accommodates all the recent attempts to study consistency and absence of arbitrage in market models. For the sake of illustration, we concentrate on the case when market quotes provide the prices of European call options for a specific set of strikes and maturities. While reviewing our recent results on dynamic local volatility and tangent Lévy models, we present a theory of tangent models unifying these two approaches and construct a new class of tangent Lévy models, which allows the underlying to have both continuous and pure jump components.

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Fatone, Lorella, Francesca Mariani, Maria Cristina Recchioni, and Francesco Zirilli. "The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance." Open Journal of Applied Sciences 04, no. 02 (2014): 23–33. http://dx.doi.org/10.4236/ojapps.2014.42004.

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Egozcue, Martín, Luis Fuentes García, Konstantinos Katsikopoulos, and Michael Smithson. "Simple models in finance: a mathematical analysis of the probabilistic recognition heuristic." Journal of Risk Model Validation 11, no. 2 (June 2017): 83–103. http://dx.doi.org/10.21314/jrmv.2017.175.

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Scrimnger-Christian, Charmaine, and Saratiel Wedzerai Musvoto. "Rethinking The Use Of Causal Theories In Social Sciences: A Focus On Accounting And Finance." International Business & Economics Research Journal (IBER) 10, no. 10 (September 27, 2011): 115. http://dx.doi.org/10.19030/iber.v10i10.5991.

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This study highlights the problems associated with the use of deterministic models in social scientific disciplines such as accounting and finance. A deterministic theory connotes a self-defining set of physical relations and it yields a set of mathematical functions, parameterized by time, which describes how a set of ideal measure numbers changes with the time parameter while statistical models are used to describe the distribution of variations of concrete measured data from the ideal mathematical law. In this study, it is argued that in disciplines such as accounting and finance there are no appropriately defined ideal mathematical laws. Moreover, it is suggested that phenomena in accounting and finance do not exhibit characteristics that facilitate an appropriate description of deterministic models. If this is the case, it follows that there are no concretely measurable data in these disciplines and consequently these data have variations whose distributions from undefined ideal mathematical laws cannot be described. Hence, it is suggested in this study that linear models can only yield misleading information in accounting and finance unless they are based on concretely measurable relations.

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Ishimura, Naoyuki. "Research on Nonlinear Partial Differential Equations in Mathematical Finance." Impact 2020, no. 8 (December 16, 2020): 48–50. http://dx.doi.org/10.21820/23987073.2020.8.48.

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Mathematical finance is a field of applied mathematics which focuses on crafting special mathematical models and computational methods which are used by the finance markets. The basis of mathematical finance lies in probability theory which focuses on analysing the behaviour of the markets to help the prediction of any random events. From this work financial companies and individuals interested in the markets can make informed choices based on a calculated risk level. Professor Naoyuki Ishimura has performed research in mathematical finance for many years, and is currently based at Chuo University, where he is now focusing on assisting in the development of better methods for calculating risk factors. One of his current collaborators is Andres Mauricio Molina Barreto, a doctoral student from Colombia. Together, they have worked on a paper that looks at the Value at Risk (VaR) for the portfolio problem in the presence of copulas, which help to explain how random variables are dependent on each other.

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Blanchet-Scalliet, Christophette, Awa Diop, Rajna Gibson, Denis Talay, and Etienne Tanré. "Technical analysis compared to mathematical models based methods under parameters mis-specification." Journal of Banking & Finance 31, no. 5 (May 2007): 1351–73. http://dx.doi.org/10.1016/j.jbankfin.2006.10.017.

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Rosenberger, Jay M., and H. W. Corley. "Mathematical programming models for some smallest-world problems." Nonlinear Analysis: Real World Applications 6, no. 5 (December 2005): 955–61. http://dx.doi.org/10.1016/j.nonrwa.2005.02.001.

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Bekri, Mahmoud, Young Shin (Aaron) Kim, and Svetlozar (Zari) T. Rachev. "Tempered stable models for Islamic finance asset management." International Journal of Islamic and Middle Eastern Finance and Management 7, no. 1 (April 14, 2014): 37–60. http://dx.doi.org/10.1108/imefm-10-2012-0096.

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Purpose – In Islamic finance (IF), the safety-first rule of investing (hifdh al mal) is held to be of utmost importance. In view of the instability in the global financial markets, the IF portfolio manager (mudharib) is committed, according to Sharia, to make use of advanced models and reliable tools. This paper seeks to address these issues. Design/methodology/approach – In this paper, the limitations of the standard models used in the IF industry are reviewed. Then, a framework was set forth for a reliable modeling of the IF markets, especially in extreme events and highly volatile periods. Based on the empirical evidence, the framework offers an improved tool to ameliorate the evaluation of Islamic stock market risk exposure and to reduce the costs of Islamic risk management. Findings – Based on the empirical evidence, the framework offers an improved tool to ameliorate the evaluation of Islamic stock market risk exposure and to reduce the costs of Islamic risk management. Originality/value – In IF, the portfolio manager – mudharib – according to Sharia, should ensure the adequacy of the mathematical and statistical tools used to model and control portfolio risk. This task became more complicated because of the increase in risk, as measured via market volatility, during the financial crisis that began in the summer of 2007. Sharia condemns the portfolio manager who demonstrates negligence and may hold him accountable for losses for failing to select the proper analytical tools. As Sharia guidelines hold the safety-first principle of investing rule (hifdh al mal) to be of utmost importance, the portfolio manager should avoid speculative investments and strategies that would lead to significant losses during periods of high market volatility.

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Yeh, Shih-Kuo, and Bing-Huei Lin. "Term Structure Fitting Models and Information Content: An Empirical Examination in Taiwanese Government Bond Market." Review of Pacific Basin Financial Markets and Policies 06, no. 03 (September 2003): 305–48. http://dx.doi.org/10.1142/s0219091503001110.

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In this study, we apply empirical methodologies, which are essentially curve fitting techniques, and use cross-sectional bond price data to estimate and analyze the Taiwanese government bond (TGB) term structure of interest rates. We choose two economic models: the Vasicek model and the CIR model, and one mathematical model: the B-spline approximation function, as the discount bond function to extract the term structure from market coupon bond prices. To assess the fitting performances and investigate the economic information content of the term structure fitting models, we compare the estimation errors and examine whether trading mis-priced bonds according the fitting model, can provide excess returns. The hypothesis is that the mathematical model can fit the term structure better than the economic models. But the economic models, which contain economic information, are able to explain the term structure dynamics. Thus the economic models can perform better in identifying mis-priced bonds and in predicting excess trading returns, than the mathematical model. Using the methodologies in this study, we can investigate the term structure fitting problems and look at the economic information content of the term structure fitting models.

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Koleva, Miglena N., and Lubin G. Vulkov. "Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance." Mathematical and Computer Modelling 57, no. 9-10 (May 2013): 2564–75. http://dx.doi.org/10.1016/j.mcm.2013.01.008.

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Minkova, Leda. "Mathematical models in finance, Edited by S. D. Howison, F. P. Kelly, and P. Wilmott." Journal of Applied Mathematics and Stochastic Analysis 10, no. 3 (January 1, 1997): 305–6. http://dx.doi.org/10.1155/s1048953397000385.

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Motsepa, Tanki, Chaudry Masood Khalique, and Motlatsi Molati. "Group Classification of a General Bond-Option Pricing Equation of Mathematical Finance." Abstract and Applied Analysis 2014 (2014): 1–10. http://dx.doi.org/10.1155/2014/709871.

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We carry out group classification of a general bond-option pricing equation. We show that the equation admits a three-dimensional equivalence Lie algebra. We also show that some of the values of the constants which result from group classification give us well-known models in mathematics of finance such as Black-Scholes, Vasicek, and Cox-Ingersoll-Ross. For all such values of these arbitrary constants we obtain Lie point symmetries. Symmetry reductions are then obtained and group invariant solutions are constructed for some cases.

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Bostoen, Claude L., and Jean-François Berret. "A mathematical finance approach to the stochastic and intermittent viscosity fluctuations in living cells." Soft Matter 16, no. 25 (2020): 5959–69. http://dx.doi.org/10.1039/c9sm02534k.

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16

Horvath, Blanka, Antoine Jacquier, and Chloé Lacombe. "Asymptotic behaviour of randomised fractional volatility models." Journal of Applied Probability 56, no. 2 (June 2019): 496–523. http://dx.doi.org/10.1017/jpr.2019.27.

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AbstractWe study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process (small-time and tail behaviours in particular). In order to do so, we extend some results on sample path large deviations for such diffusions. As an application, we show how these results characterise the small-time and tail estimates of the implied volatility for rough volatility models, recently proposed in mathematical finance.

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Simatele, Munacinga, and Phindile Dlamini. "Finance and the social mission: a quest for sustainability and inclusion." Qualitative Research in Financial Markets 12, no. 2 (July 18, 2019): 225–42. http://dx.doi.org/10.1108/qrfm-02-2019-0024.

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Purpose The purpose of this paper is to probe whether the quest for sustainability in financial social enterprise institutions leads to mission drift. Both formal and informal institutions play an important role as interventions to promote inclusion. They struggle between an explicit social mission and the implicit quest for sustainability. The debate remains on whether such organisations can achieve financial sustainability without compromising outreach. Design/methodology/approach The study uses interviews and focus group discussions in nine different hybrid organisations involved in providing different types of financial services in Swaziland. Findings The results suggest that smaller and informal enterprises tend to have less mission drift. Their risk mitigation and management approaches such as group liability and use of traditional governance structures are more adapted to the characteristics of the groups served. The modus operandi of larger enterprises tends to mimic mainstream lenders with risk mitigation measures that are inherently unsustainable for this type of market. Research limitations/implications Sustainability in financial enterprises requires new contextualised models of risk management and client selection more appropriate for excluded groups. Moreover, using group lending as a measure of outreach maybe flawed. Other forms of social capital can be used to increase outreach even in the absence of group lending. The perceived trade-off between commercial gain and outreach is somewhat complex. Mission drift seems to depend on the capital structure. Originality/value The paper contributes to an infant but important debate on how sustainability can be achieved without compromising outreach in financial institutions designed to increase financial inclusion.

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Kekytė, Ieva, and Viktorija Stasytytė. "Comparative Analysis of Investment Decision Models." Mokslas - Lietuvos ateitis 9, no. 2 (June 2, 2017): 197–208. http://dx.doi.org/10.3846/mla.2017.1023.

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Rapid development of financial markets resulted new challenges for both investors and investment issues. This increased demand for innovative, modern investment and portfolio management decisions adequate for market conditions. Financial market receives special attention, creating new models, includes financial risk management and investment decision support systems.Researchers recognize the need to deal with financial problems using models consistent with the reality and based on sophisticated quantitative analysis technique. Thus, role mathematical modeling in finance becomes important. This article deals with various investments decision-making models, which include forecasting, optimization, stochatic processes, artificial intelligence, etc., and become useful tools for investment decisions.

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An, Dong, Noah Linden, Jin-Peng Liu, Ashley Montanaro, Changpeng Shao, and Jiasu Wang. "Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance." Quantum 5 (June 24, 2021): 481. http://dx.doi.org/10.22331/q-2021-06-24-481.

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Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs). Firstly we provide a quantum algorithm that gives a quadratic speed-up for multilevel Monte Carlo methods in a general setting. As applications, we apply it to compute expectation values determined by classical solutions of SDEs, with improved dependence on precision. We demonstrate the use of this algorithm in a variety of applications arising in mathematical finance, such as the Black-Scholes and Local Volatility models, and Greeks. We also provide a quantum algorithm based on sublinear binomial sampling for the binomial option pricing model with the same improvement.

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Stanojević, Bogdana, Simona Dzitac, and Ioan Dzitac. "Fuzzy Numbers and Fractional Programming in Making Decisions." International Journal of Information Technology & Decision Making 19, no. 04 (July 2020): 1123–47. http://dx.doi.org/10.1142/s0219622020300037.

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This study surveys the use of fuzzy numbers in classic optimization models, and its effects on making decisions. In a wide sense, mathematical programming is a collection of tools used in mathematical optimization to make good decisions. There are many sectors of economy that employ it. Finance and government, logistics and manufacturing, the distribution of the electrical power are worth to be first mentioned. When real life problems are modeled mathematically, there is always a trade-off between model’s accuracy and complexity. By this survey, we aim to present in a concise form some mathematical models from the literature together with the methods to solve them. We will focus mainly on fuzzy fractional programming problems. We will also refer to but not describe in detail the multi-criteria decision-making problems involving fuzzy numbers and linear fractional programming models.

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Borodin, Alex, Irina Mityushina, Elena Streltsova, Andrey Kulikov, Irina Yakovenko, and Anzhela Namitulina. "Mathematical Modeling for Financial Analysis of an Enterprise: Motivating of Not Open Innovation." Journal of Open Innovation: Technology, Market, and Complexity 7, no. 1 (March 1, 2021): 79. http://dx.doi.org/10.3390/joitmc7010079.

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The article develops economic and mathematical models as a tool for conducting factor financial analysis of the prospects for the development of an industrial enterprise. The functioning of the developed economic and mathematical models is based on the DuPont model, which allows analyzing the dynamics of the company’s profitability in the course of two-factor and three-factor financial analysis. The proposed model tools are based on the convergence of deterministic financial analysis methods embedded in the DuPont model and simulation methods that allow analysis under the influence of random factors. The constructed economic and mathematical models for forecasting profitability use the company’s retrospective data on its financial condition: the amount of profit, revenue, assets, and equity. The constructed simulation models are implemented in the OMEGA software product and included in the computer technology for predicting the profitability of an industrial enterprise. The architecture of the proposed tools is presented, and the results of simulation experiments performed on models are demonstrated.

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Christer, A. "Editorial. Third IMA International Conference on Mathematical Models in Maintenance." IMA Journal of Management Mathematics 9, no. 2 (March 1, 1998): 89–90. http://dx.doi.org/10.1093/imaman/9.2.89.

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Stamova, Ivanka M., and Gani Tr Stamov. "On the Mittag–Leffler Stability of Impulsive Fractional Solow-Type Models." International Journal of Nonlinear Sciences and Numerical Simulation 18, no. 5 (July 26, 2017): 315–25. http://dx.doi.org/10.1515/ijnsns-2016-0027.

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AbstractIn this article, we introduce fractional-order Solow-type models as a new tool for modeling and analysis in mathematical finance. Sufficient conditions for the Mittag–Leffler stability of their states are derived. The main advantages of the proposed approach are using of fractional-order derivatives, whose nonlocal property makes the fractional calculus a suitable tool for modeling actual financial systems as well as using of impulsive perturbations which give an opportunity to control the dynamic behavior of the model. The modeling approach proposed in this article can be applied to investigate macroeconomic systems.

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Yakovenko, I. V. "Mathematical Models for Implementation of the Concept of Hard budget Restrictions in the budgetary system." Finance: Theory and Practice 25, no. 3 (July 7, 2021): 6–19. http://dx.doi.org/10.26794/2587-5671-2021-25-3-6-19.

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da Silva, Carlos Gomes, and Pedro M. R. Carreira. "Selecting Audit Samples Using Benford's Law." AUDITING: A Journal of Practice & Theory 32, no. 2 (October 1, 2012): 53–65. http://dx.doi.org/10.2308/ajpt-50340.

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SUMMARY: We contribute to digital analysis by developing two mathematical programming models that can assist auditors in selecting more promising audit samples, using Benford's law. One model identifies the smallest subset of nonconforming records in a dataset, given some predefined conformity criteria, and the other highlights the k most nonconforming records. The models take into account several conformity tests and test statistics simultaneously. The application of the models is illustrated using suggested protocols on a set of simulated data. Finally, the effectiveness of the models in detecting typical data manipulations is assessed under different contamination levels.

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Popovic, Zoran. "Pareto’s optimum in models of general economic equilibrium with the asset market." Ekonomski anali 52, no. 173 (2007): 36–84. http://dx.doi.org/10.2298/eka0773036p.

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A model of the general economic equilibrium of sequential structures includes the asset market, where assets are instruments of sequential income redistribution. The model should explain relative prices of commodities, on one hand, and establish the asset pricing as an instrument of income redistribution, on the other, enabling the analysis of sequential income transfers. This paper mainly researches Pareto?s optimum of a defined mathematical model of the general economic equilibrium in both complete and incomplete asset markets. The existence of the latter partly disables an economic system to transfer income through time sequences properly, which results in equilibrium allocations not reaching Pareto?s optimum. .

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Wong, Bernard, and C. C. Heyde. "On changes of measure in stochastic volatility models." Journal of Applied Mathematics and Stochastic Analysis 2006 (December 6, 2006): 1–13. http://dx.doi.org/10.1155/jamsa/2006/18130.

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Pricing in mathematical finance often involves taking expected values under different equivalent measures. Fundamentally, one needs to first ensure the existence of ELMM, which in turn requires that the stochastic exponential of the market price of risk process be a true martingale. In general, however, this condition can be hard to validate, especially in stochastic volatility models. This had led many researchers to “assume the condition away,” even though the condition is not innocuous, and nonsensical results can occur if it is in fact not satisfied. We provide an applicable theorem to check the conditions for a general class of Markovian stochastic volatility models. As an example we will also provide a detailed analysis of the Stein and Stein and Heston stochastic volatility models.

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Bekir, Ahmet, and Adem C. Cevikel. "New solitons and periodic solutions for nonlinear physical models in mathematical physics." Nonlinear Analysis: Real World Applications 11, no. 4 (August 2010): 3275–85. http://dx.doi.org/10.1016/j.nonrwa.2009.10.015.

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Ghamami, Samim. "Static models of central counterparty risk." International Journal of Financial Engineering 02, no. 02 (June 2015): 1550011. http://dx.doi.org/10.1142/s2424786315500115.

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Following the 2009 G-20 clearing mandate, international standard setting bodies (SSBs) have outlined a set of principles for central counterparty (CCP) risk management. They have also devised formulaic CCP risk capital requirements on clearing members for their central counterparty exposures. There is still no consensus among CCP regulators and bank regulators on how central counterparty risk should be measured coherently in practice. A conceptually sound and logically consistent definition of the CCP risk capital in the absence of a unifying CCP risk measurement framework is challenging. Incoherent CCP risk capital requirements may create an obscure environment disincentivizing the central clearing of over the counter (OTC) derivatives transactions. Based on novel applications of well-known mathematical models in finance, this paper introduces a risk measurement framework that coherently specifies all layers of the default waterfall resources of typical derivatives CCPs. The proposed framework gives the first risk sensitive definition of the CCP risk capital based on which less risk sensitive non-model-based methods can be evaluated.

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Metzner, Steffen. "Transferring outranking models to real estate management." Journal of Property Investment & Finance 36, no. 2 (March 5, 2018): 135–57. http://dx.doi.org/10.1108/jpif-01-2017-0009.

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Purpose For the purpose of decision-making in real estate portfolio management, alternatives are to be collected, assessed and prioritized. Due to the complexity of real estate markets, investment products and management processes, the respective decision situations are subject to several parameters. Multi-criteria models must be used to exactly evaluate and prioritize alternatives. Such models can be found in other economic and social areas but must be transferred or re-developed for the purposes of real estate management. The paper aims to discuss these issues. Design/methodology/approach The paper includes the transfer of the basic outranking methodology, the PROMETHEE (Preference Ranking Organization METHod für Enrichment Evaluations) method in particular, to real estate issues. Methods used outside the real estate industry are analyzed, selected and adapted by using real estate parameters (transfer approach). Findings Structured multi-criteria processes such as PROMETHEE are suitable for the solution of complex real estate selection decisions. The methodology with regard to the respective issues is much more consistent and efficient. PROMETHEE avoids the restriction of criteria in mathematical calculations and the restriction of quality in simple scorings. Research limitations/implications The target system and decision criteria of investors were used exemplarily. The individual parameters and criteria can lead to new model solutions. Practical implications Multi-criteria models such as PROMETHEE stringently and transparently solve complex decision problems and alternative evaluations in real estate portfolio management. They can be developed for strategic, tactical and operative decision situations. The decision quality and verification for compliance requirements improve. Social implications Multi-criteria models such as PROMETHEE can also be developed for social, societal and political decision situations. Originality/value First adaption of the outranking procedure PROMETHEE to a real estate decision situation in market analysis and portfolio management.

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HUEHNE, FLORIAN. "DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES." International Journal of Theoretical and Applied Finance 10, no. 03 (May 2007): 407–35. http://dx.doi.org/10.1142/s0219024907004172.

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We introduce the intensity-based defaultable Lévy Libor model, which generalizes the default-free Lévy Libor model introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance13(2) (2003) 277–300], and the intensity-based defaultable model presented by Bielecki and Rutkowski in [Credit Risk: Modeling, Valuation and Hedging, Springer Finance (Springer-Verlag, 2002)] by embedding it in the defaultable HJM framework introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance13(2) (2003) 277–300]. We also derive some additional results for defaultable HJM models such as the dynamics of credit spreads. We then go on and model the default-free Libor rates and credit spreads as the primal variable and derive the dynamics of the defaultable Libor rates under the defaultable forward measure. Finally, we derive an explicit formula for options on credit default swaps, using an idea introduced by Raible in [Lévy Processes in finance: Theory, numerics and empirical facts, PhD thesis, University of Freiburg i. Brsg. (2000)].

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Tajani, Francesco, Pierluigi Morano, and Klimis Ntalianis. "Automated valuation models for real estate portfolios." Journal of Property Investment & Finance 36, no. 4 (July 2, 2018): 324–47. http://dx.doi.org/10.1108/jpif-10-2017-0067.

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Purpose As regards the assessment of the market values of properties that compose real estate portfolios, the purpose of this paper is to propose and test an automated valuation model. In particular, the method defined allows for providing for objective, reliable and “quick” valuations of the assets in the phases of periodic reviews of the property values. Design/methodology/approach Aiming at both predictive and interpretative purposes, the method, based on multi-objective genetic algorithms to search those model expressions that simultaneously maximize the accuracy of the data and the parsimony of the mathematical functions, is applied to a sample data of office properties characterized by medium and large size, located in the city of Milan (Italy) and sold in the period between 2004 and 2015. Findings The model obtained could be an integration of the canonical methodologies (market approach, income approach, cost approach) implemented in the assessment of the market values of properties, so as to provide an additional tool to verify the results. In particular, the inclusion of economic variables in the model is consistent with the need to reiterate the valuations, contextualizing them to the locational characteristics and to the current property cycle phase in the specific area. Practical implications The model can be applied by all the operators involved in the periodic reviews of the values of property portfolios: from real estate funds’ insiders, in order to monitor the values obtained through the canonical approaches, to the public institutions, such as the revenue agencies, in order to ensure the fair payment of the taxes through the updating values of the properties according to the actual and current market trends. Originality/value The method proposed can be a valid support for all public and private entities that hold significant property assets and that, for various reasons (periodic reviews of the balance sheets, sales, enhancement, investment, etc.), require cyclical updated values of the properties. The automated valuation model developed can be used for the assessment of “comparison” values with the estimates values obtained by other assessment techniques, in order to ensure a further monitoring tool of the results from the subjects involved.

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SPIEGLER, PETER, and WILLIAM MILBERG. "The taming of institutions in economics: the rise and methodology of the ‘new new institutionalism’." Journal of Institutional Economics 5, no. 3 (October 23, 2009): 289–313. http://dx.doi.org/10.1017/s1744137409990026.

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Abstract:We examine the origin and methodology of a ‘New New Institutional Economics’ (NNIE) – an emerging research agenda distinguished by its attempt to account for the role of institutions in complex socio-economic change by formally modeling institutions as the background conditions to parameterized cost–benefit calculations. The NNIE expands the application of economic modeling tools to new areas of inquiry, models institutional outcomes with parsimony and mathematical rigor, and introduces political and economic power, thereby allowing for consideration of institutional change that is not Pareto improving. Using a four-part analytical framework, we find that the explanatory power of NNIE analysis derives not from its formal models, but from a more vague, nuanced, and narrative version of the formal models, which we call ‘Quasi-Models’. We find that the NNIE's formal models are too parsimonious to meaningfully illuminate the complex institutions they ostensibly represent.

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Khouzani, Mehdi Mollakarimi, and Alireza Shahraki. "A Review on Mathematical Models for the Layout Design of the Cell Manufacturing System in Dynamic State." Industrial Engineering & Management Systems 19, no. 1 (March 31, 2020): 164–73. http://dx.doi.org/10.7232/iems.2020.19.1.164.

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Kaufmann, Roger, Andreas Gadmer, and Ralf Klett. "Introduction to Dynamic Financial Analysis." ASTIN Bulletin 31, no. 1 (May 2001): 213–49. http://dx.doi.org/10.2143/ast.31.1.1003.

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AbstractIn the last few years we have witnessed growing interest in Dynamic Financial Analysis (DFA) in the nonlife insurance industry. DFA combines many economic and mathematical concepts and methods. It is almost impossible to identify and describe a unique DFA methodology. There are some DFA software products for nonlife companies available in the market, each of them relying on its own approach to DFA. Our goal is to give an introduction into this field by presenting a model framework comprising those components many DFA models have in common. By explicit reference to mathematical language we introduce an up-and-running model that can easily be implemented and adjusted to individual needs. An application of this model is presented as well.

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Loerx, Andre, and Ekkehard W. Sachs. "Model Calibration in Option Pricing." Sultan Qaboos University Journal for Science [SQUJS] 16 (April 1, 2012): 84. http://dx.doi.org/10.24200/squjs.vol17iss1pp84-102.

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We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give an outlook into modern approaches of modelling. Furthermore, we address important numerical issues in the valuation of options and likewise the calibration of these models. This leads to interesting problems in optimization, where, e.g., the use of adjoint equations or the choice of the parametrization for the model parameters play an important role.

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Straka, Mika J., Guido Caldarelli, Tiziano Squartini, and Fabio Saracco. "From Ecology to Finance (and Back?): A Review on Entropy-Based Null Models for the Analysis of Bipartite Networks." Journal of Statistical Physics 173, no. 3-4 (April 28, 2018): 1252–85. http://dx.doi.org/10.1007/s10955-018-2039-4.

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Borucka, Anna, Edward Kozlowski, Piotr Oleszczuk, and Dariusz Mazurkiewicz. "The Use of Mathematical Models Describing the Spread of Covid-19 in Strategic State Security Management." EUROPEAN RESEARCH STUDIES JOURNAL XXIII, Special Issue 3 (November 1, 2020): 82–98. http://dx.doi.org/10.35808/ersj/1855.

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Li, Shengguo, Jin Peng, and Bo Zhang. "A Stock Model with Varying Stock Diffusion for Uncertain Market." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 26, no. 04 (July 12, 2018): 679–92. http://dx.doi.org/10.1142/s0218488518500319.

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The option-pricing problem is an important topic in modern finance. In this paper, we propose a stock model with varying stock diffusion based on uncertainty theory. The European option pricing formulas are derived from the proposed uncertain stock model, and some mathematical properties of these formulas are investigated. Moreover, extended uncertain stock models are introduced and discussed. Finally, numerical examples are given to illustrate the proposed model.

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CRILLY, JIM, and PETER FRYER. "New directions in food research: the role of mathematical models in food processing." IMA Journal of Management Mathematics 5, no. 1 (1993): 265–82. http://dx.doi.org/10.1093/imaman/5.1.265.

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Kolokontes, Argyrios D., Achilleas Kontogeorgos, Efstratios Loizou, and Fotios Chatzitheodoridis. "Input-Output Models and Derived Indicators: A Critical Review." Scientific Annals of Economics and Business 66, no. 3 (2019): 267–308. http://dx.doi.org/10.47743/saeb-2019-0026.

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Input-Output literature can be characterized as complicated and chaotic. The complications concern the nomenclature of concepts for the derived indices from the multipliers’ models, their mathematical expressions and computable applications. The terminologies’ inconsistencies often end up to a deviation between the description for these indices and their actual computation, or/and to a misunderstanding as for their usefulness and outcomes. The aim of the paper is to help the readers to face the weaknesses in the literature. In this way, the paper provide an overview with a critical look to the constructed multipliers’ matrices and their derived indicators from the I-O models, and elaborate the causes for the scrutinized confusions. The paper proposes both terminological and computational adjustments and differentiated approaches for the models and their indices, in order to ameliorate their capabilities and to exploit their peculiarities for the developmental patterns. Alternative interpretative ways and applicable expansions are suggested.

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Cairns, Andrew. "Y.K. Kwok: Mathematical Models of Financial Derivatives. Springer Finance, Singapore, ISBN 981 3083 255 (hardcover), 981 3083 565 (soft-cover), 1998." ASTIN Bulletin 30, no. 1 (May 2000): 251–52. http://dx.doi.org/10.1017/s051503610000876x.

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Voynarenko, Mykhaylo, Viktoriya Hurochkina, Viacheslav Dzhedzhula, Iryna Yepifanova, and Olena Menchynska. "Applying Fuzzy Logic to Modeling Economic Emergence." WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS 18 (February 2, 2021): 424–33. http://dx.doi.org/10.37394/23207.2021.18.43.

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Modeling of financial, socioeconomic and integration indicators of fishing enterprises in conditions of uncertainty and constant transformation requires the development of an economic and mathematical model for studying the emergent state, which would be based on a set of main factors of influence of qualitative and quantitative characteristics of the dynamics of functioning. To create an expert modeling system for multi factorial analysis of the processes of functioning and management decisions of industrial enterprises, a mathematical apparatus based on the theory of fuzzy logic and a linguistic variable was used. This economic and mathematical method is a computer of mathematical algorithms, models and formalized methods and is based on the stagnation of expert linguistic information for predicting indicators of development or decline in order to form the basic mechanism for detecting latent properties of an emergent state. To develop an economic and mathematical model expert assessments and the results of analytical and experimental scientific studies of a qualitative and quantitative nature are used. Fuzzy logic modeling allows you to combine quantitative and qualitative factors and allows you to identify latent signals of emergent properties and determine the level of emergent state of industrial enterprises

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Bozzini, Benedetto, and Ivonne Sgura. "A class of mathematical models for alternated-current electrochemical measurements accounting for non-linear effects." Nonlinear Analysis: Real World Applications 9, no. 2 (April 2008): 412–29. http://dx.doi.org/10.1016/j.nonrwa.2006.11.009.

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Klunne, Qim Jonker. "Small hydropower in Southern Africa – an overview of five countries in the region." Journal of Energy in Southern Africa 24, no. 3 (August 1, 2013): 14–25. http://dx.doi.org/10.17159/2413-3051/2013/v24i3a3138.

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This paper looks at the status of small hydropower in Lesotho, Mozambique, South Africa, Swaziland and Zimbabwe. For each country, an overview will be given of the electricity sector and the role of hydropower, the potential for small hydropower and the expected future of this technology. Small hydropower has played an important role in the history of providing electricity in the region. After a period with limited interest in applications of small hydropower, in all five countries, a range of stakeholders from policy makers to developers are showing a renewed interest in small hydropower. Although different models were followed, all five countries covered in the paper do currently see activities around grid connected small scale hydropower. Particular frameworks that facilitate IPPs and Power Purchase Agreements with the national utility do provide a basis for (local) commercial banks to provide finance. Off-grid hydropower for rural electrification purposes sees activities in the countries with an active (support) role of government in this respect only. Small hydropower, renewable energy technology has large potential across the southern Africa region, both for grid connected and off-grid applications. Historically, small hydropower played an important role in the development of the region. Since the mid-1960s, however, the main emphasis has been on centralised fossil fuel-based electricity generation. Developers and policy makers have only recently begun looking at small hydropower again.

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Choudhary, Anupama, Devendra Kumar, and Jagdev Singh. "On the integral transform of Mittag-Leffler-type functions with applications." Analysis 41, no. 3 (May 14, 2021): 155–62. http://dx.doi.org/10.1515/anly-2018-0074.

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Abstract In this article, we study certain results connected with a generalized Mittag-Leffler function. A generalized Mittag-Leffler function operator of Laplace and Sumudu conversions are investigated and some applications of the recognized results are also deduced as corollaries in this article. The outcomes of the present study are valuable in solving fractional order mathematical models in science, mathematics, finance and technology where the Mittag-Leffler function arises in a natural manner.

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Miftakhova, Alena, Karl Schmedders, and Malte Schumacher. "Computing Economic Equilibria Using Projection Methods." Annual Review of Economics 12, no. 1 (August 2, 2020): 317–53. http://dx.doi.org/10.1146/annurev-economics-080218-025711.

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The analysis of dynamic economic models routinely leads to the mathematical problem of determining an unknown function for which no closed-form solution exists. Economists must then resort to methods of numerical approximation when analyzing such models. Among the computational methods that have been successfully applied in economics and finance, one set of techniques stands out due to its flexibility and robustness: projection methods. In this article, we describe the basic steps of these methods for several different applications, surveying many successful applications of projection methods to dynamic economic models. Importantly, we emphasize that the ever-increasing complexity and dimensionality of dynamic models have made the previously used simpler methods obsolete and the applications of projection methods all but mandatory. We closely examine the most recent endeavors in the literature on solving economic models with projection methods.

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LUCIANO, ELISA, and PATRIZIA SEMERARO. "A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE." International Journal of Theoretical and Applied Finance 13, no. 03 (May 2010): 415–40. http://dx.doi.org/10.1142/s0219024910005838.

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Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch from calendar time to trade-related business time. Time-changed Brownian motions can be generated by infinitely divisible normal mixtures. The standard multivariate mixtures assume a common mixing variable. This corresponds to a multidimensional return process with a unique change of time for all assets under exam. The economic counterpart is uniqueness of trade or business time, which is not in line with empirical evidence. In this paper we propose a new multivariate definition of normal mixtures with a flexible dependence structure, based on the economic intuition of both a common and an idiosyncratic component of business time. We analyze both the distribution and the related process. We use the above construction to introduce a multivariate generalized hyperbolic process with generalized hyperbolic margins. We conclude with a stock market example to show the ease of calibration of the model.

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Asongu, Simplice A. "Long-term effects of population growth on aggregate investment dynamics." African Journal of Economic and Management Studies 6, no. 3 (September 7, 2015): 225–50. http://dx.doi.org/10.1108/ajems-12-2012-0083.

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Purpose – The generation is witnessing the greatest demographic transition and Africa is at the heart of it. There is mounting concern over corresponding rising unemployment and depleting per capita income. The purpose of this paper is to examine the issues from a long-run perspective by assessing the relationships between population growth and a plethora of investment dynamics: public, private, foreign and domestic investments. Design/methodology/approach – Vector autoregressive models in the perspectives of vector error correction and short-run Granger causality are used. Findings – In the long-run population growth will: first, decrease foreign and public investments in Ivory Coast; second, increase public and private investments in Swaziland; three, deplete public investment but augment domestic investment in Zambia; fourth diminish private investment and improve domestic investment in the Congo Republic and Sudan, respectively. Practical implications – Mainstream positive linkage of population growth to investment growth in the long-term should be treated with extreme caution. Policy orientation should not be blanket, but contingent on country-specific trends and tailored differently across countries. The findings stress the need for the creation of a conducive investment climate (and ease of doing business) for private and foreign investments. Family planning and birth control policies could also be considered in countries with little future investment avenues. Originality/value – The objective of this study is to provide policy makers with some insights on how future investment opportunities could help manage rising population growth and corresponding unemployment.

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Massironi, Carlo. "Philip Fisher’s sense of numbers." Qualitative Research in Financial Markets 6, no. 3 (November 10, 2014): 302–31. http://dx.doi.org/10.1108/qrfm-01-2013-0004.

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Purpose – This paper aims to propose an account of the use of numbers and mathematical formulae and, more generally, of the quantitative aspects in the qualitative equity valuation model of the American investor Philip A. Fisher who is considered to be one of the fathers of the qualitative equity valuation models. Design/methodology/approach – A Conceptual analysis was conducted (Glasersfeld, 1992) of the four volumes published by Fisher between 1954 and 1980 (1958, 1960, 1975, 1980) in relation to his equity valuation process. On the basis of this analysis, a modelization of this author’s perspective on quantitative instruments was built. Findings – A modelization to use quantitative data in a qualitative equity valuation model that is sufficiently detailed and useful for an asset manager is proposed. Originality/value – What is propose is a qualitative analysis of quantitative elements in the thought of a qualitative author on the subject of equity valuation. It is believed that this paper could be of interest to all those who use or are involved in the development of qualitative models of equity valuation or business valuation. This work is also an example of how conceptual analysis – generally employed in the field of mathematics education research – can be used to build descriptive models of decision-making processes of individual investors, models designed to enable the reproduction/approximation of the conceptual operations of the investor.

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Journal articles on the topic 'Finance – Mathematical models – Swaziland'

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