Report NEP-ORE-2009-09-26This is the archive for NEP-ORE, a report on new working papers in the area of Operations Research. Walter Frisch issued this report. It is usually issued weekly.
The following items were announced in this report:
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Tetsuya Takaishi, 2009. "An Adaptive Markov Chain Monte Carlo Method for GARCH Model," Papers 0901.0992, arXiv.org.
- William T. Shaw & Jonathan McCabe, 2009. "Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space," Papers 0903.1592, arXiv.org.
- Sovan Mitra, 2009. "Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation," Papers 0904.1131, arXiv.org.
- Alex Langnau, 2009. "Introduction into "Local Correlation Modelling"," Papers 0909.3441, arXiv.org, revised Sep 2009.