The SABR stochastic volatility model with β-volatility β є (0,1) and an absorbing barrier in zero imposed to the forward prices/rates stochastic process is studied. The presence of (possibly) nonzero correlation between the stochastic differentials that appear on the right hand side of the model equations is considered. A series expansion of the transition probability density function of the mo...

e nergy consumption has increased significantly in iran during the recent decades. in this study, an inter-industrial model has been improved to investigate the sources of the changes in the energy consumption of the country. the input-output tables of iran for the years 1988 and 2001 have been employed as the database of the model. the innovation of this research allows the researchers to stud...

Generalized measurements of an observable performed on a quantum system during a force protocol are investigated and conditions that guarantee the validity of the Jarzynski equality and the Crooks relation are formulated. In agreement with previous studies by M. Campisi, P. Talkner, and P. Hänggi [Phys. Rev. Lett. 105, 140601 (2010); Phys. Rev. E 83, 041114 (2011)], we find that these fluctuati...

In this thesis we study two problems of financial mathematics that are closely related. The first part proposes a method to find prices and hedging strategies for risky claims exposed to a risk factor that is not hedgeable on a financial market. In the second part we calculate the maximal utility and optimal trading strategies on incomplete markets using Backward Stochastic Differential Equatio...

The work on Conceptual Modelling performed by our group at PUCRio is surveyed, covering four mutually dependent research topics. Regarding databases as a component of information systems, we extended the scope of the Entity-Relationship model, so as to encompass facts, events and agents in a three-schemata specification method employing a logic programming formalism. Next we proceeded to render...

to investigate the effects of certain factors on the rate of retained placenta, 2844 calving records from 1288 holstein cows in a herd were used. these cows calved during year period of 2001 to 2007. a generalized statistical linear model was applied to analyze the data. logistic regression model was applied as the statistical model. in the model, fixed effects of year, season (warm or cold) an...

The cargo motion in living cells transported by two species of motor protein with different intrinsic directionalities is discussed in this study. Similarly to single motor movement, the cargo steps forward and backward along a microtubule stochastically. Recent experiments found that cargo transportation by two motor species has a memory; it does not change its direction as frequently as expec...

In this paper, a new continuum traffic model is developed considering the backward-looking effect through positive backward equilibrium speed function. As compared with conventional full velocity difference model, function, which largely acceptably grounded from mathematical and physical perspectives, plays an important role in significantly enhancing stability of flow field. A linear condition...