In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate. In particular, our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, whereas the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) model. We first extend the framework of [119] by ...

in this article, we have shown, for the add-point monad t, thepartial morphism category set*is isomorphic to the kleisli category sett. alsowe have proved that the category, sett, of t-algebras is isomorphic to thecategory set of pointed sets. finally we have established commutative squaresinvolving these categories.

This paper proposes a novel analytical pricing–hedging framework for volatility derivatives which simultaneously takes into account rough and jumps. Directly targeting the instantaneous variance of risky asset, our model consists generalized fractional Ornstein–Uhlenbeck process driven by Lévy subordinator an independent sinusoidal-composite process, allows characteristic function average forwa...

The transition to oxy-fuel combustion power cycles is a prospective way decrease carbon dioxide emissions into the atmosphere from energy sector. To identify which technology has highest efficiency and lowest emission level, thermodynamic analysis of semiclosed combined cycle (SCOC-CC), E-MATIANT cycle, Allam was carried out. modeling methodology been described in detail, including approaches d...

the present paper introduces the notion of the complete fuzzy norm on a linear space. and, some relations between the fuzzy completeness and ordinary completeness on a linear space is considered, moreover a new form of fuzzy compact spaces, namely b-compact spaces and b-closed spaces are introduced. some characterizations of their properties are obtained.

In this manuscript, the well-known Bergman nonlinear mathematical model of the plasma glucose/insulin interaction is adopted and a semi closed-loop optimal technique is proposed for the correction of hyperglycemia in diabetic subjects. Computer simulations are used to evaluate the effectiveness of the proposed technique and to demonstrate its superiority in controlling hyperglycemia over other ...

in this paper, a new definition of fuzzy bounded sets and totallyfuzzy bounded sets is introduced and properties of such sets are studied. thena relation between totally fuzzy bounded sets and n-compactness is discussed.finally, a geometric characterization for fuzzy totally bounded sets in i- topologicalvector spaces is derived.