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Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/378543
Description: In Vehicular Ad Hoc Networks (VANETs), vehicles driving along highways can be grouped into clusters to facilitate communication. The design of the clusters, e.g., size and geographical span, has signi ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: Thesis PhD
Identifier: http://hdl.handle.net/1959.14/1128742
Description: Theoretical thesis.
Full Text: Full Text
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/173976
Description: Purpose – The purpose of this paper is to consider a discrete-time, Markov, regime-switching, affine term-structure model for valuing bonds and other interest rate securities. The proposed model incor ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/166290
Description: This paper studies optimal channel reservation in cooperative cognitive radio networks (CRNs) where secondary users (SUs) have access to the combined spectrum pool of cooperating CRNs. Motivated by SU ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/179814
Description: Purpose: We price regime switching risk, when pricing contingent claims in discrete time nance. In addition, we analyse the risk of market incompleteness under Markovian regime switching framework. Or ... More
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/110253
Description: In this paper, we develop an option valuation model in the context of a discrete-time multivariate Markov chain model using the Esscher transform. The multivariate Markov chain provides a flexible way ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/211195
Description: This paper develops a valuation model for a perpetual convertible bond when the price dynamics of the underlying share are governed by continuous-time Markovian regime-switching models. We suppose tha ... More
Reviewed: Reviewed
Authors: Dungey, Nick
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/47255
Description: We offer a new, simple method of deriving time regularity estimates for discrete time "heat kernels". Our method applies, for example, to suitable Markov chains and to random walks on weighted graphs, ... More
Reviewed: Reviewed
Date: 2004
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1149780
Description: This article analyses a counting process associated with a stochastic process arising in global optimisation. Backtracking adaptive search (BAS) is a theoretical stochastic global optimisation algorit ... More
Reviewed: Reviewed
Date: 2002
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/7782
Description: How long should we run a stochastic global optimisation algorithm such as simulated annealing? How should we tune such an algorithm? This paper proposes an approach to the study of these questions thr ... More
Reviewed: Reviewed
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