Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

AN EXTENSION TO STOCHASTIC TIME-COST TRADE-OFF PROBLEM OPTIMIZATION WITH DISCOUNTED CASH FLOW

In this paper, an efficient multi-objective model is proposed to solve time-cost trade off problem considering cash flows. The proposed multi-objective meta-heuristic is based on Ant colony optimization and is called Non Dominated Archiving Ant Colony Optimization (NAACO). The significant feature of this work is consideration of uncertainties in time, cost and more importantly interest rate. A ...

Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process

We present an extension of stochastic volatility equity models by a stochastic Hull-White interest rate component while assuming non-zero correlations between the underlying processes. We place these systems of stochastic differential equations in the class of affine jump diffusion linear quadratic jump-diffusion processes (Duffie, Pan and Singleton [13], Cheng and Scaillet [10]) so that the pr...

An Implementation of the Displaced Diffusion , Stochastic Volatility Extension of the LIBOR Market Model

The introduction makes up for the mandatory abstract.

Appendix to An Intertemporal CAPM with Stochastic Volatility

An Extension to the Economic Production Quantity Problem with Deteriorating Products Considering Random Machine Breakdown and Stochastic Repair Time

The recent advances in manufacturing systems motivate several studies to focus on Economic Production Quantity (EPQ) problem. Althuogh there are several extentions to the EPQ, this paper provides a new extension by considering some of the real world parameters like: (a) shortages in the form of partial backordering, (b) inventory can deteriorate stochastically, (c) machine can break down stocha...