Showing papers by "Central Economics and Mathematics Institute published in 1995"
TL;DR: The additive clustering approach is applied to the problem of two-mode clustering and compared with the recent error-variance approach and has been shown to have several advantages.
Abstract: The additive clustering approach is applied to the problem of two-mode clustering and compared with the recent error-variance approach of Eckes and Orlik (1993). Although the schemes of the computational algorithms look very similar in both of the approaches, the additive clustering has been shown to have several advantages. Specifically, two technical limitations of the error-variance approach (see Eckes and Orlik 1993, p. 71) have been overcome in the framework of the additive clustering.
30 citations
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TL;DR: In this paper, the authors investigated the term structure for the case when interest rates are allowed to be driven by a general marked point process as well as by a Wiener process, and developed a theory which allows for measure-valued trading portfolios.
Abstract: We investigate the term structure for the case when interest rates are allowed to be driven by a general marked point process as well as by a Wiener process. Developing a theory which allows for measure-valued trading portfolios we study existence and uniqueness of a martingale measure, as well as completeness of the bond market. We also give sufficient conditions for the existence of an affine term structure. Developing the appropriate forward measures we give formulas for interest rate derivatives.
13 citations
TL;DR: In this paper, a limit of a normalized difference between the distribution of the conditionally Poisson process with the intensity modulated by a fast Markov process with a finite phase space was calculated.
Abstract: A limit of a normalized difference between the distribution of the conditionally Poisson process with the intensity modulated by a “fast” Markov process with a finite phase space and the distribution of the Poisson process with the appropriately averaged intensity is calculated. The proof is based on the study of a singularly perturbed filtering equation
10 citations
TL;DR: An approach to the dynamic optimization of the age structure of scientific personnel in an organization and the criterion for maximizing the integral productivity of available scientific personnel over given time horizon is introduced.
Abstract: An approach to the dynamic optimization of the age structure of scientific personnel in an organization is presented. The appropriate mathematical model describing the age rotation of scientific workers is formulated and the criterion for maximizing the integral productivity of available scientific personnel over given time horizon is introduced. The criterion is constructed by using such scientometric instrument as the “curves of age productivity”. The practical application of suggested approach is demonstrated by means of real example.
5 citations
TL;DR: In this article, the main problems of the privatization theory are defined and a survey of some results in this area is presented, as well as relations between theoretical conclusions and real issues of the Russian privatization are discussed as well.
Abstract: An attempt is made to define main problems of the privatization theory and to present a survey of some results in this area. Two models are discussed that demonstrate paradoxical consequences of property right restrictions and dynamics of property right redistribution which entails a stratification of society. Two ways of transition from centralized to a market system (through privatization and through price liberalization processes) are compared in frameworks of a mixed economy model with queues. Relations between theoretical conclusions and real issues of the Russian privatization are discussed as well.
5 citations