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  • Variational Bayesian inference for parametric and nonparametric regression with missing data 
    Faes C.; Ormerod J.; Wand Matthew (American Statistical Association, 2011)
    Bayesian hierarchical models are attractive structures for conducting regression analyses when the data are subject to missingness. However, the requisite probability calculus is challenging and Monte Carlo methods typically ...
  • A Volatility Decomposition Control Variate Technique For Monte Carlo Simulations Of Heath Jarrow Morton Models 
    Chiarella Carl; Clewlow Les; Musti Silvana (Elsevier Science Bv, 2005)
    The aim of this work is to develop a simulation approach to the yield curve evolution in the Heath, Jarrow and Morton [Econometrica 60 (1) (1992) 77] framework. The stochastic quantities considered as affecting the forward ...
  • The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 
    Chiarella Carl; Hung Hing; To Thuy-Duong (Elsevier, 2009)
    The dynamics for interest rate processes within the well-known multi-factor Heath, Jarrow and Morton (HJM) specification are considered. Despite the flexibility of and the notable advances in theoretical research about the ...
  • Walrasian equilibrium in matching models 
    Wooders John (Elsevier Science Bv, 1998)
    We analyze trading in a model in which the agents and their preferences are the same as in the main models of matching and bargaining, but in which trade is centralized rather than decentralized. We characterize equilibrium ...
  • Wavelet Analysis of The Cost-of-carry Model 
    Stevenson, M. J; Lin, S. (Massachusetts Institute of Technology Press, 2001)
    In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the twofundamentally related time series: spot and futures indices. Such ...
  • Weak discrete time approximation of stochastic differential equations with time delay 
    Platen Eckhard; Kuechler Uwe (Elsevier Science, 2001)
    This paper considers the derivation of weak discrete time approximations for solutions of stochastic differential equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of ...
  • Weakly Symmetric Graphs, Elementary Landscapes, and the TSP 
    Barnes J; Solomon Andrew; Acevedo Rudy; Dokov Stefcho (Elsevier, 2003)
    Weakly symmetric graphs are defined and their construction from symmetric graphs is explained. It is shown that the TSP on a weakly symmetric graph joined with each of a number of well-known local search neighbourhoods ...
  • What on earth is sustainability in mathematics? 
    Reid, A.; Petocz, P. (New Zealand Mathematical Society and the Department of Mathematics University of Auckland, 2003)
    We examine the problems of integrating issues of sustainability within the mainstream curriculum of university mathematics, taking our cue from the discussion at the Johannesburg Earth Summit. Our approach to the problem ...