Option valuation has been a challenging issue of financial engineering and optimization for a long time. The increasing complexity of market conditions requires utilization of advanced models that, commonly, do not lead to closed-form solutions. Development of novel numerical procedures, which prove to be efficient within various option valuation problems, is therefore worthwhile. Notwithstan...

Current methods for the production of natural vanilla extract are long and tedious, efficiency vanillin extraction is usually conditioned by different factors during traditional curing process (temperatures weather conditions). As an important fraction present in form glucovanillin green beans, endogenous β-glucosidases contribute to its hydrolysis; however, these enzymes lose process. The use ...

We present a general framework to price contingent claims whose payoffs involve equity, credit and interest rate components. The common cross-market dynamics are modeled via a Markov-chain ξ. The model is dynamically consistent and allows for a high degree of flexibility. Prices of various vanilla and more complex derivative products can be derived analytically or resorting to integral transfor...

Stress before retention testing impairs memory, whereas memory performance is enhanced when the learning context is reinstated at retrieval. In the present study, we examined whether the negative impact of stress before memory retrieval can be attenuated when memory is tested in the same environmental context as that in which learning took place. Subjects learned a 2-D object location task in a...

Recently, there has been great progress in the fabrication of various nano-devices utilizing silicon ULSI processing techniques [1]. Reliable room temperature operations have been demonstrated in a silicon single-electron quantum-dot transistor [2], a silicon selfassembled quantum-dot transistor [3], and various types of single-electron memory cells [4,5]. However, these single electron or quan...

SPICE is a de-facto standard for free circuit simulation and the role model for most commercial simulators. In this paper we present the SPICE OPUS circuit simulator which is based on the SPICE3 source code. The shortcomings of the original SPICE3 and of its device models are highlighted. We present the solutions to these shortcomings that were implemented in SPICE OPUS. Three promising open-so...

VIX options traded on the CBOE have become popular volatility derivatives. As S&P 500 vanilla options and VIX both depend on S&P 500 volatility dynamics, it is important to understand the link between these products. In this paper, we bound VIX options from vanilla options and VIX futures. This leads us to introduce a new martingale optimal transportation problem that we solve numerically. Anal...

We consider the Constant Elasticity of Variance (CEV) process, reviewing the relationships between its transition density and that of the non-central chi-squared distribution. When the CEV parameter exceeds one, the forward price process is a strictly local martingale, and the price of a plain vanilla European call option reflects this fact. We develop techniques for Monte Carlo simulation of t...