Adjoint Algorithmic Differentiation is an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Often the differentiation does not cover the full pricing process when a model calibration is performed. Thanks to the implicit function theorem, the differentiation of the solver embedded in the calibration is not required to differentiate to full pricing pr...

References [1] F. Black and P. Karasinski, Bond and option pricing when short-term rates are lognormal, Financial Analysts Journal, Vol. 47, No. 4, 52-59, 1991. [2] F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy, Vol. 81, 637-654, 1973. [3] J. C. Cox, J. E. Ingersoll, and S.A. Ross, An intertemporal general equilibrium model of asset pric...

The aim of this article is to give a general introduction to the theory of interacting particle methods, and an overview of its applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical solution of a variety of financial applications such as pricing complex path dependent European options...

Preface The aim of this dissertation is to describe more realistic models for financial assets based on generalized hyperbolic (GH) distributions and their subclasses. Generalized hyperbolic distributions were introduced by Barndorff-Nielsen (1977), and stochastic processes based on these distributions were first applied by Eberlein and Keller (1995) in Finance. Being a normal variance-mean mix...

Offering Grid services in an open market determines an optimization case for finding the best suitable resource allocation for a given number of requests and existing resources. Thus, appropriate resource allocation schemes, supporting accounting, are required in addition to a pricing scheme, which supports financial fairness criteria. The newly developed Resource Allocation Model Developed for...

This paper examines some standard open-economy New Keynesian models to address the question of how globalisation affects the inflation process. Specifically, it investigates how the Phillips curve for consumer price inflation in a country is affected by openness, and how the optimal choice of monetary policy is influenced by openness. The paper compares models that assume producer currency pric...

In this paper, we present a quantum version of some portions of Mathematical Finance, including theory of arbitrage, asset pricing, and optional decomposition in financial markets based on finite dimensional quantum probability spaces. As examples, the quantum model of binomial markets is studied. We show that this quantum model ceases to pose the paradox which appears in the classical model of...

As options models move from financial markets to corporate decision making, it is fitting to question the simple domain extension of option pricing theory by considering behavioral decision-making biases. We suggest, however, that, given the negative evolutionary consequences of ignoring optionlike investments, organizations invent heuristic rules to counter these biases. We propose the idea of...

Managerial flexibilities have to be taken into account in ex-ante decision-making on IT investment projects (ITIPs). In many papers of the IS literature, standard financial option pricing models are used to value such managerial flexibilities. Based on a review of the related literature, the paper critically discusses the assumptions of the most frequently used financial option pricing model, n...

OBJECTIVE The Canadian province of British Columbia (BC) is adding financial incentives to increase the volume of surgeries provided by hospitals using a marginal pricing approach. The objective of this study is to calculate marginal costs of surgeries based on assumptions regarding hospitals' availability of labor and equipment. DATA This study is based on observational clinical, administrat...