In the context of multi-factor stochastic volatility models, which contain the widely used Heston model, we present variance reduction techniques to price European options by Monte Carlo (MC) and QuasiMonte Carlo (QMC) methods. We formulate a stochastic integral as a martingale control for the payoffs to be evaluated. That control corresponds to the cost of an approximate delta hedging strategy...

the paper presents a multi-factor decision-making approach for prioritizing failure modes as an alternative to traditional approach of failure mode and effect analysis (fmea). the approach is based on the ‘technique for order preference by similarity to ideal solution’ (topsis). the priority ranking is formulated on the basis of six parameters (failure occurrence, non-detection, maintainability...

a new method derived by salem et al. (2004) for interpretation of gravity and magnetic anomalies is used to determine the depth and shape factor of the gravity anomalies. the depth and shape factor of some rectangular prisms as synthetic models are estimated using the method. the gravity effects of the models are contaminated with some random noise and then the parameters of the models are extr...

We present an unsupervised, comprehensive methodology for the construction of financial risk models. We o↵er qualitative comments on incremental functionality and quantitative measures of superior performance of component and mixture dynamic linear models relative to alternative models. We apply our methodology to a high dimensional stream of daily closing prices for approximately 7,000 US trad...

The problem of obtaining the optimum design, which is able to discriminate between several rival models has been considered in this paper. We give an optimality-criterion, using a Bayesian approach. This is an extension of the Bayesian KL-optimality to more than two models. A modification is made to deal with nested models. The proposed Bayesian optimality criterion is a weighted average, where...

In the present research, a multi-objective model is proposed, which considers equity among the citizens in addition to the cost criterion. Then, the model will be solved using Reservation Level Tchebycheff Procedure (RLTP), which is one of the interactive multi-objective decision-making techniques. Subsequently, the obtained results will be compared with those of the single-objective models to ...

In present study, a three-step multi-objective optimization algorithm of cyclone separators is catered for the design objectives. First, the pressure drop (Dp) and collection efficiency (h) in a set of cyclone separators are numerically evaluated. Secondly, two meta models based on the evolved Group Method of Data Handling (GMDH) type neural networks are regarded to model the Dp and h as the re...