The need for investment in the improvement and expansion of the electric transmission grid has not been met in the new competitive environment. Investment in transmission assets poses demanding challenges: multiplicity of players, market imperfections, among others. The integration of financial instruments poses also an additional level of complication, because investors wish to ensure steady l...

The question of optimal strategic asset allocation for investors with behavioural utilities saving for retirement is addressed. To date this problem has been studied assuming that an investor is rational in the sense when making investment decisions the preference relation of the investor satisfies all the axioms of choice. Research in behavioural science indicates that investment related decis...

The paper is devoted to optimal superreplication of European options in the discrete setting under proportional transaction costs on the underlying asset. In particular, general pricing and hedging algorithms are developed. This extends previous work by many authors, which has been focused on the binomial tree model and options with specific payoffs such as calls or puts, often under certain bo...

In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers based on binomial tree framework. We introduce numerical algorithms by penalization method and reflected method respectively. In the end simulation results are also presented.

This note contains two main results. (1) (Discrete time) Suppose S is a martingale whose marginal laws agree with a geometric simple random walk. (In financial terms, let S be a risk-neutral asset price and suppose the initial option prices agree with the Cox–Ross–Rubinstein binomial tree model.) Then S is a geometric simple random walk. (2) (Continuous time) Suppose S = S0eσX−σ 〈X〉/2 is a cont...

We present a framework for generating a trivariate B-spline parametrization of turbine blades from measurement data generated by optical scanners. This new representation replaces the standard patchbased representation of industrial blade designs. In a first step, the blade surface is represented by a smoothly varying family of B-spline curves. In a second step, the blade is parametrized by a t...

Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial markets is to compute an expected value of such contracts as a basis for trading decisions. The Cox, Ross and Rubinstein (CRR) binomial tree model is a popular discrete approach to such computations, which requires time quad...

In psoriatic arthritis, many patients do not develop permanent joint damage even after a prolonged follow-up. This has led several authors to consider the possibility of a subpopulation of stayers (those who do not have the propensity to experience the event of interest), as opposed to assuming the entire population consist of movers (those who have the propensity to experience the event of int...