Report NEP-ORE-2010-06-11This 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:
- ROMBOUTS, Jeroen J. K & STENTOFT, Lars, 2010. "Multivariate option pricing with time varying volatility and correlations," CORE Discussion Papers 2010020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nicole El Karoui & Mohamed Mrad, 2010. "An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE," Working Papers hal-00477381, HAL.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood inference for a fractionally cointegrated vector autoregressive model," CREATES Research Papers 2010-24, School of Economics and Management, University of Aarhus.
- Benjamin Jourdain & Mohamed Sbai, 2009. "High order discretization schemes for stochastic volatility models," Working Papers hal-00409861, HAL.
- Hyeongwoo Kim & Nazif Durmaz, 2010. "Bias Correction and Out-of-Sample Forecast Accuracy," Auburn Economics Working Paper Series auwp2010-02, Department of Economics, Auburn University.
- Francesco Audrino & Marcelo Cunha Medeiros, 2010. "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussÃ£o 570, Department of Economics PUC-Rio (Brazil).
- Item repec:bep:unimip:1101 is not listed on IDEAS anymore
- Fabien Guilbaud & Mohamed Mnif & Huy\^en Pham, 2010. "Numerical methods for an optimal order execution problem," Papers 1006.0768, arXiv.org.