These types of functionals have numerous applications. For example, if λ= 0, g(x) = x, then the expectation gives the price of a zero coupon bond in financial mathematics. If g(Xt) = μh(Xt) and h(Xt) does not depend on μ, then the expectation is the two dimensional Laplace transform of the joint density of (Xt, ∫ t 0 h(Xs)ds). Most cases must be handled numerically, but recently considerable at...

We develop an agency model of financial contracting. We derive long-term debt, a line of credit, and equity as optimal securities, capturing the debt coupon and maturity; the interest rate and limits on the credit line; inside versus outside equity; dividend policy; and capital structure dynamics. The optimal debt-equity ratio is history dependent, but debt and credit line terms are independent...

In an earlier paper (Nunez & Colhoun 1986), the gradient of near-surface air temperature with altitude, commonly known as the environmental lapse rate (ELR), was obtained for Mount Wellington, Tasmania. Comparing these local lapse rates with an ELR for the entire island did not give good agreement for maximum temperatures in summer or minimum temperatures in winter. These differences are attrib...

We consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite number of sources of randomness does not have some of the shortcomings found in the classical finite factor models. Indeed, under natural conditions on the model, we find that there exists a unique hedging strategy, an...

We consider the problem of assigning prices to goods of fixed marginal cost in order to maximize revenue in the presence of singleminded customers. We focus in particular on the question of how pricing certain items below their marginal costs can lead to an improvement in overall profit, even when customers behave in a fully rational manner. We develop two frameworks for analyzing this issue th...

Message propagation is used in a wide range of applications, such as search in unstructured P2P overlays, modeling infection spread in epidemiology, and modeling the spread of gossip in social networks. For example, in a P2P network that has an unstructured overlay, search for a piece of information is conducted by propagating the query message within the network, usually with the desire that a...

In this paper we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The ma...

BACKGROUND Previous studies of methods to increase response rates on international postal surveys did not include providing return postage. We provided International Postage Vouchers--"Coupon-Réponse International" to cover this. The objective of this study was to see if these International Postage Vouchers had an effect on response rates. METHODS Between-groups, randomized, after-only. RES...

A friction test rig has been developed to carry out repeated sliding friction tests for premium tubular connections. The test rig enables accurate measurement of friction in various contact regimes which are relevant to the threaded connections between tubular components. Higher load tests can simulate the contact in metal-to-metal seals under very high contact pressures by using perpendicular ...