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Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for...
Larguinho, M.; Dias, J.C.; Braumann, C.A.Pricing options and evaluating greeks under the constant elasticity of variance (CEV) model require the computation of the noncentral chi-square distribution function. In this article, we compare the performance in terms of accuracy and computational time of alternative methods for computing such probability distributions against an xternally tested benchmark. In addition, we present closed-form solutions for c...
Environmental vs Demographic Stochasticity in Population Growth
Braumann, C. A.Compares the effect on population growth of envinonmental stochasticity (random environmental variations described by stochastic differential equations) with demographic stochasticity (random variations in births and deaths described by branching processes and birth-and-death processes), in the density-independent and the density-dependent cases.
Random differential operational calculus: Theory and applications
Villafuerte, L., Braumann, C. A., Cortés, J.‐C., Jódar, L.A product rule and a chain rule for mean square derivatives are obtained using fourth order properties. Applications to the mean square solution of random differential equations are shown.
Estatística da Teoria à Prática, Actas do XV Congresso Anual da Sociedade Portu...
Hill, M. M.; Ferreira, M. A.; Dias, J. G.; Salgueiro, M. F.; Carvalho, H.; Vicente, P.; Braumann, C. A.Proceedings of the XV Congresso Anual da Sociedade Portuguesa de Estatística (ISCTE, Lisboa, Portugal, 2007) containing the invited conferences and the submited papers that were accepted after refereeing. The Editors were Manuela Magalhães Hill, Manuel Alberto Ferreira, José Gonçalves Dias, Maria de Fátima Salgueiro, Helena Carvalho, Paula Vicente e Carlos A. Braumann
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