This paper is continuation work of a research started in 2005. In the previous research, variety of fuzzy digital elevation models was constructed and the best fit model was selected in order to present an alternative in modelling height information. The previous study revealed that fuzzy digital elevation model gave satisfied result compared with the result from TIN (Triangulated Irregular Net...

Lognormal price dynamics and passage to the continuum limit. After a brief recap of our pricing formula, this section introduces the lognormal model of stock price dynamics, and explains how it can be approximated using binomial trees. Then we use these binomial trees to price contingent claims. The Black-Scholes analysis is obtained in the limit δt → 0. As usual, Baxter–Rennie captures the cen...

In this paper we consider a new model of multivariate lognormal diffusion process with a vector of exogenous factors such that each component exclusively affects the respective endogenous variable of the process. Starting from the Kolmogorov differential equations and Ito’s stochastics equation of this model, its transition probability density is obtained. A discrete sampling of the process is ...

Lognormal price dynamics and passage to the continuum limit. After a brief recap of our pricing formula, this section introduces the lognormal model of stock price dynamics, and explains how it can be approximated using binomial trees. Then we use these binomial trees to price contingent claims. The Black-Scholes analysis is obtained in the limit δt→ 0. As usual, Baxter–Rennie captures the cent...

The distribution of the local average power at the land mobile is widely accepted to be lognormal in both terrestrial and satellite channels. However, the mathematical form of the lognormal distribution is not convenient for analytic calculations. In this paper, we show the utility of the gamma distribution for shadow fading, in both terrestrial and satellite channels, using empirical data. Fur...

The backward induction approach is systematically used to produce various models of forward market rates. These include the lognormal model of forward LIBOR rates examined in Miltersen et al. (1997) and Brace et al. (1997), as well as the lognormal model of ((xed-maturity) forward swap rates proposed by Jamshidian (1996, 1997). The valuation formulae for European caps and swaptions are given. I...

In this work, the use of both a second-order response surface method (RSM) and the Kriging method as approximation models for design optimization are investigated and compared. After validating the accuracy of each method with simple one-and two-dimensional analytic functions, they are applied to two Supersonic Business Jet (SBJ) drag minimization design cases in order to obtain a clear compari...

This paper deals with the estimation of the lognormal-Pareto and the lognormal-Generalized Pareto distributions, for which a general result concerning asymptotic optimality of maximum likelihood estimation cannot be proved. We develop a method based on probability weighted moments, showing that it can be applied straightforwardly to the first distribution only. In the lognormal-Generalized Pare...

Interpolating scattered data points is a problem of wide ranging interest. One of the most popular interpolation methods in geostatistics is ordinary kriging. The price for its statistical optimality is that the estimator is computationally very expensive. We demonstrate the space and time efficiency and accuracy of approximating ordinary kriging through the use of covariance tapering combined ...