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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310195
Description: Strategic asset allocation is discussed in a discrete-time economy, where the rates of return from asset classes are explained in terms of some observable and hidden factors. We extend the existing mo ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/213757
Description: We investigate the pricing of both European and American-style options when the price dynamics of the underlying risky assets are governed by a Markov-modulated constant elasticity of variance process ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/289260
Description: A problem of minimization of L₁-penalized conditional value-at-risk (CVaR) is considered. It is shown that there exists a non-negative threshold value of the penalty parameter such that the optimal va ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/188200
Description: We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the es ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/168696
Description: The lasso algorithm for variable selection in linear models, introduced by Tibshirani, works by imposing an $l_1$~norm bound constraint on the variables in a least squares model and then tuning the mo ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143451
Description: We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility (TARSV) model. Using the technique of a reference probability measure, we ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135675
Description: We discuss ruin theory when the insurance risk process is described by a hidden Markov, regime-switching diffusion process. The innovations approach to filtering theory is used to transform the partia ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/312940
Description: Simulation of waves scattered by a large number of particles is important for several applications---for example, to investigate interactions between particles in an ensemble---and hence to design eff ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1228017
Description: We describe and compare two iterative fully discrete high-order algorithms for simulation of electromagnetic scattering by multiple perfectly conducting three dimensional particles. Our hybrid surface ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1162362
Description: 5 page(s)
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1145924
Description: A mathematically rigorous and numerically efficient approach, based on analytical regularization, for solving the scalar wave diffraction problem with a Dirichlet boundary condition imposed on an arbi ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/146831
Description: The SimMOp framework for generating solutions to simulation optimization problems containing multiple objectives is presented. The complexity within this subject is the conflicting multiple stochastic ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/116466
Description: We describe a high-order method for computing the monostatic and bistatic radar cross section (RCS) of a class of three-dimensional targets. Our method is based on an electric field surface integral e ... More
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Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1162359
Description: 3 page(s)
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/73332
Description: Motivation: Experimentalists have amassed extensive evidence over the past four decades that proteins appear to fold during production by the ribosome. Protein structure prediction methods, however, d ... More
Full Text: Full Text
Reviewed: Reviewed