The Backward Stochastic Differential Equation (BSDE) is a robust tool for financial derivatives pricing and risk management. In this paper, we explore the opportunity for parallel computing with BSDEs in financial engineering. A binomial tree based numerical method for BSDEs is investigated and applied to option pricing. According to the special structure of the numerical model, we develop a bl...

In this paper we summarise the experiences we obtained during past years in accelerating financial code through parallelisation and source-level optimisation. We have been focusing on developing optimised parallel programs to speedup financial computations where either binomial tree method or Monte Carlo simulation was applicable. The parallelisation was through explicit POSIX multi-threading o...

Ecological river restoration projects aim to revitalize healthy and self-sustaining river systems that can provide irreplaceable benefits to human society. Cheonggyecheon and Anyangcheon are two sites of recent river restoration projects in Korea. To assess the economic value of two rivers, count data was collected to conduct the individual travel cost method (ITCM) in this study. Five statisti...

Histogram equalization is an efficient contrast enhancement algorithm. Global equalization is effective, but enhances only overall contrast, while local histogram equalization is more powerful, but computationally expensive. In this paper, a Block-based Binomial Filtered Histogram Equalization (BBFHE) algorithm is presented. The image is divided into blocks, and for each block a histogram is ob...

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...

We derive a quantile-adjusted conditional maximum likelihood estimator for the dispersion parameter of the negative binomial distribution and compare its performance, in terms of bias, to various other methods. Our estimation scheme outperforms all other methods in very small samples, typical of those from serial analysis of gene expression studies, the motivating data for this study. The impac...

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...

Many different methods have been proposed for the analysis of cluster randomized trials (CRTs) over the last 30 years. However, the evaluation of methods on overdispersed count data has been based mostly on the comparison of results using empiric data; i.e. when the true model parameters are not known. In this study, we assess via simulation the performance of five methods for the analysis of c...