11
books found

The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its core assumptions is that the volatility of the underlying asset is constant. It was realised early that one has to specify a dynamic on the volatility ...

Quasi-Monte Carlo methods, which are often described as deterministic versions of Monte Carlo methods, were introduced in the 1950s by number theoreticians. They improve several deficiencies of Monte Carlo methods; such as providing estimates with deterministic bounds and avoiding the paradoxical difficulty of ...

The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the ...

This thesis focuses on iterative methods for the treatment of the steady state neutron transport equation in slab geometry, bounded convex domain of Rn (n = 2,3) and in 1-D spherical geometry. We introduce a generic Alternate Direction Implicit (ADI)-like iterative method based on positive definite and ...

In this work we explore the relation between some local Dirichlet spaces and some operator ranges. As an application we give numerical bounds for an equivalence of norms on a particular subspace of the Hardy space.Based on these results we introduce an operator on H^2 which we study in some ...

The thesis starts with a short description of the credit derivatives' place in the credit risk management. Then it proceeds by outlining the basic forms of credit derivatives, their applications, and their contract elements. A short description of the two common pricing frameworks for credit derivatives, the Firm's ...

When in 1900 David Hilbert produced a list of 23 mathematical problems and expressed optimism in the power of the human mind to proffer positive solutions to them, little did he know that it would take much of the century for solutions to be found for some of the problems. The problems numbered 1, 2, and 10 which ...

Combinatorial Games are a generalization of real numbers. Each game has a recursively defined complexity (birthday). In this paper we establish some game bounds. We find some limit cases for how big and how small a game can be, based on its complexity. For each finite birthday, N, we find the smallest positive ...

Radiative transfer of photons though a random distribution of scatterers is considered. The Boltzmann transport eq is used to develop a program to obtain real values of intensity based on a set of discrete time intervals. A Newton-Raphson method is used to determine a set of eigenvalues based on the boundary ...

Attrition and time-to-degree issues remain poorly understood in academia, and almost completely unexplored in criminology and criminal justice. Loss rates of fifty percent or more are common in the social sciences, while the success rates for criminal justice are unknown for most schools. This study attempts to ...