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Now showing items 12-18 of 18

Pricing of Defaultable Securities under Stochastic Interest

Kordzakhia Nino; Novikov Alex (Springer, 2008)
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms

Chiarella Carl; Ziogas Andrew; Ziveyi Jonathan (Springer, 2010)

We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston¿s stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327¿343, ...
Scheduling UET tasks on two parallel machines with the criteria of makespan and total completion time

Zinder Yakov; Do Van Ha (Springer, 2005)

Two extensions of the classical scheduling model with two parallel identical machines and a partially ordered set of unit execution time tasks are considered. It is well known that the Coffman-Graham algorithm constructs ...
The SETAR Model of Tong and Lim and Advances in Computation

Geweke John (World Scientific Publishing Co., 2009)

This discussion revisits Tong and Lim's seminal 1980 paper on the SETAR model in the context of advances in computation since that time. Using the Canadian lynx data set from that paper, it compares exact maximum likelihood ...
Some recent developments in the theory of Lie group symmetries for PDEs

Craddock Mark; Konstandatos Otto; Lennox Kelly (Nova Publishing, 2009)

Lie group symmetry methods provide a powerful tool for the analysis of PDEs. Over the last thirty years, considerable progress has been made in the development of this field. In this article, we provide a brief introduction ...
Tail distributions of supremum and quadratic variation of local Martingales

Lipster R; Novikov Alex (Springer, 2006)

We extend some known results concerning the distribution tails of supremum and quadratic variation of a continuous local martingale tothe case of locally square integrable martingales with bounded jumps. The predictable ...
The time-varying behaviour of credit spreads on Yen Eurobonds

Batten Jonathan; Hogan Warren; Pynnonen Seppo (Elsevier, 2003)

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