We study the problem of pricing barrier options and Russian options driven by exponential NIG Lévy processes by simulation. Simulating at a discrete grid creates a systematic bias because the minimum and maximum in between grid points is neglected. The proposed solution is to simulate the large jumps only and use a Brownian approximation for the rest combined with explicit formulas for Brownian...

Abstract A long simulation over the period 1901–2010 with an eddy-permitting ocean circulation model is used to study variability of upper layer in North Ionian Gyre (NIG) Eastern Mediterranean Sea (EMed). The driven by atmospheric forcing from twentieth century reanalysis data set ERA-20C, ensuring a consistent performance entire period. main modes known EMed, particular decadal reversals NIG ...

Present address: Laboratory of Molecular and Experimental Pathology, Key Laboratory of Animal Models and Human Disease Mechanisms, Kunming Institute of Zoology, Chinese Academy of Sciences, Kunming, P.R. China. yPresent address: Department of Genetics, University of Erlangen, D-91058 Erlangen,Germany. zShared senior authorship. Correspondence to: Thomas Hu« nig, Institute for Virology and Immun...

Background. A good night's sleep plays a key role in diseases resistance, injury prevention, and mood stability. The objective of this study was to examine relationship between sleep problems and accidental injury occurrences in school-aged children. Method. A retrospective study was conducted for comparing two groups of children. Children who have experienced injuries for at least two times du...

The modeling flexibility provided by hypergraphs has drawn a lot of interest from the combinatorial scientific community, leading to novel models and algorithms, their applications, and development of associated tools. Hypergraphs are now a standard tool in combinatorial scientific computing. The modeling flexibility of hypergraphs however, comes at a cost: algorithms on hypergraphs are inheren...

The modeling flexibility provided by hypergraphs has drawn a lot of interest from the combinatorial scientific community, leading to novel models and algorithms, their applications, and development of associated tools. Hypergraphs are now a standard tool in combinatorial scientific computing. The modeling flexibility of hypergraphs however, comes at a cost: algorithms on hypergraphs are inheren...

It has become common practice to fit GARCH models to financial time series by means of pseudo maximum likelihood. In this study we investigate the behaviour of several maximum likelihood based methods for estimating the Garch model parameters and for estimating volatility and risk measures (VaR and expected shortfall). We consider NIG, skewed-t, t and nonparametric kernel densities for this pur...