Now showing items 1-10 of 56
Gastos transitórios para choques
(Valor Econômico, 2020-03-19)
A cooperative conjugate gradient method for linear systems permitting efficient multi-thread implementation
This paper revisits, in a multi-thread context, the so-called multi-parameter or block conjugate gradient (B-CG)methods, first proposed as sequential algorithms by O’Leary and Brezinski, for the solution of the linear ...
Functional Itô calculus, path-dependence and the computation of Greeks
(Elsevier Science Bv, 2017-12)
Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...
Watchdogs in our midst: how presidents monitor coalitions in Brazil's multiparty presidential regime
When delegating governing tasks to a coalition partner, the president would like to give a minister ample administrative powers to be able to effectively accomplish the political mission. Due to information asymmetries, ...
Cooperative concurrent asynchronous computation of the solution of symmetric linear systems
This paper extends the idea of Brezinski's hybrid acceleration procedure, for the solution of a system of linear equations with a symmetric coefficient matrix of dimension n, to a new context called cooperative computation, ...
A steam turbine dynamic model for full scope power plant simulators
(Pergamon-Elsevier Science Ltd, 2017-06-25)
The development of a steam turbine dynamic model for full scope power plant simulators is described in this work. Model completeness is one of the main features of the model developed as it attempts to completely cover the ...
Full Bayesian analysis of claims reserving uncertainty
We revisit the gamma–gamma Bayesian chain-ladder (BCL) model for claims reserving in non-life insurance. This claims reserving model is usually used in an empirical Bayesian way using plug-in estimates for the variance ...
Analysis of the Finite Element Method for the Laplace–Beltrami Equation on Surfaces with Regions of High Curvature Using Graded Meshes
(Springer New York LLC, 2017)
We derive error estimates for the piecewise linear finite element approximation of the Laplace–Beltrami operator on a bounded, orientable, (Formula presented.), surface without boundary on general shape regular meshes. As ...
Shock fluctuations for the Hammersley process
We consider the Hammersley interacting particle system starting from a shock initial profile with densities (). The microscopic shock is taken as the position of a second-class particle initially at the origin, and the ...
Volatility and correlation-based systemic risk measures in the US market
(Elsevier Science Bv, 2016-10-01)
This paper deals with the problem of how to use simple systemic risk measures to assess portfolio risk characteristics. Using three simple examples taken from previous literature, one based on raw and partial correlations, ...