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Pricing Convertible Bonds with the Penalty TF Model Using Finite Element Method
In this paper, we discuss finite element methods (FEM) for solving numerically the so-called TF model, a PDE-based model for pricing convertible...
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A Fitted L-Multi-Point Flux Approximation Method for Pricing Options
In this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American...
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A Deep Learning Based Numerical PDE Method for Option Pricing
Proper pricing of options in the financial derivative market is crucial. For many options, it is often impossible to obtain analytical solutions to...
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A Novel Multi-dimensional Evaluation Framework and Spatiotemporal Analysis of Ship** Cities Based on Entropy-Weighted TOPSIS Method
Step** into the new stage of trade openness, ship** city initiatives have attracted increasing attention. An integrated five-dimension system is...
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Data-Driven Multiscale Modeling and Robust Optimization of Composite Structure with Uncertainty Quantification
It is important to accurately model materials’ properties at lower length scales (micro-level) while translating the effects to the components and/or...
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A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems
Stochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton–Jacobi–Bellman (HJB) equation. In...
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Competitive Online Strategy Based on Improved Exponential Gradient Expert and Aggregating Method
In recent years, online portfolio selection (OLPS) has received more and more attention from quantitative investment and artificial intelligence...
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Conceptual Bases of a Quantitative Method for Assessing the Transferability of Medical Technologies Across the Rich-Poor Divide
In spite of the global advancements in science and technology, the disparity in the quality of life across the globe continues to increase,...
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Data Envelopment Analysis: A Nonparametric Method of Production Analysis
In the Operations Research/Management Science literature, the nonparametric method of Data Envelopment Analysis (DEA) has gained wide popularity as a...
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Calibration of Local Volatility Surfaces from Observed Market Call and Put Option Prices
We present a novel, straightforward, robust, and precise calibration algorithm for local volatility surfaces based on observed market call and put...
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Axiomatic Foundation of Central Place Theory: Revision from the Standpoint of the Russian School
Abstract —The article refines the axiomatic foundation of central place theory (CPT) and identifies the possibilities and limitations of a logical...
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Instrumental Variables/Method of Moments Estimation
The chapter discusses generalized method of moments (GMM) estimation methods for spatial models. Much of the discussion is on GMM estimation of...
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A Fitted Multi-point Flux Approximation Method for Pricing Two Options
In this paper, we develop novel numerical methods based on the multi-point flux approximation (MPFA) method to solve the degenerated partial...
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On the Replication of the Pre-kernel and Related Solutions
Based on the results discussed by Meinhardt (The Pre-Kernel as a Tractable Solution for Cooperative Games: An Exercise in Algorithmic Game Theory,...
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Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression
Granger causality analysis emerges as a typical method for inferring causal interactions in economics variables. Yet the traditional pairwise...
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Implementation of Monte-Carlo Simulations in Economy and Finance
As a matter of fact, Stochastic processes are widely happened in the daily life, where a typical approach to simulate the process by calculating the...
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Mathematical Modeling of Transportation Flows
This paper discusses mathematical modeling of transportation routing, the process of creating mathematical models that describe and predict the...
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Spatial stochastic frontier model with endogenous weighting matrix
We propose a spatial autoregressive stochastic frontier model, which allows for endogenous weighting matrix (i.e., the spatial weighting matrix is...
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Self-exciting negative binomial distribution process and critical properties of intensity distribution
We study the continuous time limit of a self-exciting negative binomial process and discuss the critical properties of its intensity distribution. In...
