Zebrafish are gaining momentum as a laboratory animal species for the investigation of several functional and dysfunctional biological processes. Mathematical models of zebrafish behaviour are expected to considerably aid in the design of hypothesis-driven studies by enabling preliminary in silico tests that can be used to infer possible experimental outcomes without the use of zebrafish. This ...

We demonstrate that the jump-rotational-diffusion model originally developed in the context of quasielastic neutron scattering from high temperature liquids can describe the two-state behavior observed in the low temperature dynamics of some molecular and point defects in crystals. The unusual temperature dependences of the IR spectra of both diatomic chalcogen hydrides in alkali halides and KI...

We derive closed formulas for the prices of European options andtheir sensitivities when the underlying asset follows a double-exponentialjump diffusion model, as considered by S. Kou in 2002. This author hasderived the option price by making use of double series where each termrequires the computation of a sequence of special functions, such thatthe implementation remains difficult for a large...

Our goal is to represent images in terms of geometric objects acting as primitive elements of an image description. Similar representations obtained by stochastic marked point processes have already led to convincing image analysis results but suffer from serious drawbacks such as complex and unstable parameter tuning, large computing time, and lack of generality. We propose an alternative desc...

Signatures of chemical exchange and spectral diffusion in 2D photon-echo line shapes of molecular aggregates are studied using model calculations for a dimer whose Hamiltonian parameters are stochastically modulated. Cross peaks induced by chemical exchange and by exciton transport have different dynamics and distinguish two models which have the same absorption spectrum (a two-state jump bath ...

Recent development in ruin theory has seen growing popularity of jump diffusion processes in modeling an insurer’s assets and liabilities. Despite the variations of technique, the analysis of ruin-related quantities mostly relies on solutions to certain differential equations. In this paper, we propose in the context of Lévy-type jump diffusion risk models a solution method to a general class o...

A two dimensional numerical model of shallow water equations was developed tocalculate sub and super-critical open channel flows. Utilizing an implicit scheme the steady stateequations were discretized based on control volume method. Collocated grid arrangement was appliedwith a SIMPLEC like algorithm for depth-velocity coupling. Power law scheme was used fordiscretization of convection and dif...

In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space (Rm) and test a stable non-parametric calibration algorithm which takes into account a given local covariance structure. The algorithm returns smooth and simply structured Lévy densities, and penalizes the deviation from the Libor market model. In practice, the procedure is FFT based, thus fast, easy to...

Analytical tractability is one of the challenges faced by many alternative models that try to generalize the Black-Scholes option pricing model to incorporate more empirical features. The aim of this paper is to extend the analytical tractability of the BlackScholes model to alternative models with jumps. We demonstrate a double exponential jump diffusion model can lead to an analytic approxima...