12,125 research outputs found
Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques
This article proposes a methodology for measuring value at risk for fat-tailed asset return distributions. Simulation-based results indicate that this approach provides better estimates of risk than one based on the assumption that asset returns are normally distributed.Econometric models ; Risk
Multiscale analysis and simulation of a signalling process with surface diffusion
We present and analyze a model for cell signaling processes in biological tissues. The model includes diffusion and nonlinear reactions on the cell surfaces and both inter- and intracellular signaling. Using techniques from the theory of two-scale convergence as well the unfolding method, we show convergence of the solutions to the model to solutions of a two-scale macroscopic problem. We also present a two-scale bulk-surface finite element method for the approximation of the macroscopic model. We report on some benchmarking results as well as numerical simulations in a biologically relevant regime that illustrate the influence of cell-scale heterogeneities on macroscopic concentrations
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