We present an algorithm that determines Sequential Tail Value at Risk (STVaR) for path-independent payoffs in a binomial tree. STVaR is a dynamic version of Tail-Valueat-Risk (TVaR) characterized by the property that risk levels at any moment must be in the range of risk levels later on. The algorithm consists of a finite sequence of backward recursions that is guaranteed to arrive at the solut...

We use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. We show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.

Safety analysts usually use post-modeling methods, such as the Goodness-of-Fit statistics or the Likelihood Ratio Test, to decide between two or more competitive distributions or models. Such metrics require all competitive distributions to be fitted to the data before any comparisons can be accomplished. Given the continuous growth in introducing new statistical distributions, choosing the bes...

The transformed rejection method, a combination of inversion and rejection, which can be applied to various continuous distributions, is well suited to generate binomial random variates as well. The resulting algorithms are simple and fast, and need only a short setup. Among the many possible variants two algorithms are described and tested: BTRS a short but nevertheless fast rejection algorith...

we use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. we show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.

PURPOSE Unwanted, bright fat signals in balanced steady-state free precession sequences are commonly suppressed using spectral shaping. Here, a new spectral-shaping method is proposed to significantly improve the uniformity of stopband suppression without compromising the level of passband signals. METHODS The proposed method combines binomial-pattern excitation pulses with a wideband balance...

The coefficient of determination R2 quantifies the proportion of variance explained by a statistical model and is an important summary statistic of biological interest. However, estimating R2 for generalized linear mixed models (GLMMs) remains challenging. We have previously introduced a version of R2 that we called [Formula: see text] for Poisson and binomial GLMMs, but not for other distribut...

This paper explores the utility of a discrete singular convolution (DSC) algorithm for solving the Black–Scholes equation. Both European and American style options, which include all nontrivial plain option pricing problems, are considered to test the accuracy and to examine the efficiency of the present algorithm. Adaptive meshes are constructed to enhance the performance of the DSC algorithm....

under the risk-neutral measure. As usual rd denotes the domestic interest rate, rf the foreign interest rate, σ the volatility. The analysis we do is also applicable to equity options, but we take the foreign exchange market as Abstract: No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks...