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    <title>EconStor Collection:</title>
    <link>https://hdl.handle.net/10419/238</link>
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    <pubDate>Tue, 28 Apr 2026 11:38:47 GMT</pubDate>
    <dc:date>2026-04-28T11:38:47Z</dc:date>
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      <title>Importance sampling for backward SDEs</title>
      <link>https://hdl.handle.net/10419/32189</link>
      <description>Title: Importance sampling for backward SDEs
Authors: Bendera, Christian; Moseler, Thilo
Abstract: In this paper we explain how the importance sampling technique can be generalized from simulating expectations to computing the initial value of backward SDEs with Lipschitz continuous driver. By means of a measure transformation we introduce a variance reduced version of the forward approximation scheme by Bender and Denk [4] for simulating backward SDEs. A fully implementable algorithm using the least-squares Monte Carlo approach is developed and its convergence is proved. The success of the generalized importance sampling is illustrated by numerical examples in the context of Asian option pricing under different interest rates for borrowing and lending.</description>
      <pubDate>Tue, 01 Jan 2008 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/32189</guid>
      <dc:date>2008-01-01T00:00:00Z</dc:date>
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    <item>
      <title>Modelling and forecasting multivariate realized volatility</title>
      <link>https://hdl.handle.net/10419/32169</link>
      <description>Title: Modelling and forecasting multivariate realized volatility
Authors: Chiriac, Roxana; Voev, Valeri
Abstract: This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter restrictions. We provide an empirical application of the model, in which we show by means of stochastic dominance tests that the returns from an optimal portfolio based on the model's forecasts second-order dominate returns of portfolios optimized on the basis of traditional MGARCH models. This result implies that any risk-averse investor, regardless of the type of utility function, would be better-off using our model.</description>
      <pubDate>Tue, 01 Jan 2008 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/32169</guid>
      <dc:date>2008-01-01T00:00:00Z</dc:date>
    </item>
    <item>
      <title>International and domestic trading and wealth distribution</title>
      <link>https://hdl.handle.net/10419/32155</link>
      <description>Title: International and domestic trading and wealth distribution
Authors: Düring, Bertram; Toscani, Giuseppe
Abstract: We introduce and discuss a kinetic model for wealth distribution in a simple market economy which is built of a number of countries or social groups. Our approach is based on the model with risky investments introduced by Cordier, Pareschi and one of the authors in [13] and borrows ideas from the kinetic theory of mixtures of rarefied gases. Wealth is exchanged by individuals inside these countries (domestic trade) as well as in between different countries (international trade). Under a suitable scaling we derive a system of Fokker-Planck type equations and discuss its extension to a two-dimensional model with distributed trading propensity. Theoretical and numerical results for two groups show that the wealth distribution develops a bimodal (and in general, a polymodal) shape.</description>
      <pubDate>Tue, 01 Jan 2008 00:00:00 GMT</pubDate>
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      <dc:date>2008-01-01T00:00:00Z</dc:date>
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    <item>
      <title>A Boltzmann-type approach to the formation of wealth distribution curves</title>
      <link>https://hdl.handle.net/10419/32150</link>
      <description>Title: A Boltzmann-type approach to the formation of wealth distribution curves
Authors: Düring, Bertram; Matthes, Daniel; Toscani, Giuseppe
Abstract: Kinetic market models have been proposed recently to account for the redistribution of wealth in simple market economies. These models allow to develop a qualitative theory, which is based on methods borrowed from the kinetic theory of rarefied gases. The aim of these notes is to present a unifying approach to the study of the evolution of wealth in the large-time regime. The considered models are divided into two classes: the first class is such that the society's mean wealth is conserved, while for models of the second class, the mean wealth grows or decreases exponentially in time. In both cases, it is possible to classify the most important feature of the steady (or self-similar, respectively) wealth distributions, namely the fatness of the Pareto tail. We shall also discuss the tails' dynamical stability in terms of the model parameters. Our results are derived by means of a qualitative analysis of the associated homogeneous Boltzmann equations. The key tools are suitable metrics for probability measures, and a concise description of the evolution of moments. A recent extension to economies, in which different groups of agents interact, is presented in detail. We conclude with numerical experiments that confirm the theoretical predictions.</description>
      <pubDate>Tue, 01 Jan 2008 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/32150</guid>
      <dc:date>2008-01-01T00:00:00Z</dc:date>
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