Now showing items 1-4 of 4

  • Adaptive Continuous time Markov Chain Approximation Model to General Jump-Diusions 

    Cerrato, Mario; Lo, Chia Chun; Skindilias, Konstantinos (University of GlasgowUniversity of MacauLondon Metropolitan University, 2011)
    We propose a non-equidistant Q rate matrix formula and an adaptive numerical algorithm for a continuous time Markov chain to approximate jump-diffusions with affine or non-affine functional specifications. Our approach ...
  • Chebyshev polynomial approximation to approximate partial differential equations 

    Caporale, Guglielmo Maria; Cerrato, Mario (University of GlasgowBrunel UniversityLondon Metropolitan University, 2008)
    This paper suggests a simple method based on Chebyshev approximation at Chebyshev nodes to approximate partial differential equations. The methodology simply consists in determining the value function by using a set of ...
  • An investigation of customer order flow in the foreign exchange market 

    Cerrato, Mario; Sarantis, Nicholas; Saunders, Alex (University of GlasgowLondon Metropolitan UniversityDeutsche Asset Management, USA, 2010)
    This paper examines the effect that heterogeneous customer orders flows have on exchange rates by using a new, and the largest, proprietary dataset of weekly net order flow segmented by customer type across nine of the ...
  • A Nonlinear Panel Unit Root Test under Cross Section Dependence 

    Cerrato, Mario; de Peretti, Christian; Larsson, Rolf; Sarantis, Nicholas (University of GlasgowUniversity of LyonUppsala UniversityLondon Metropolitan University, 2011)
    We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-roots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR ...

Copyright © 2015 SIRE - All Rights Reserved