Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and
Computation : Back Matter Page 1 page 403 i i i i Bibliography [1] ML ABELL AND JP …

Fourier transform techniques are playing an increasingly important role in Mathematical
Finance. For arbitrary stochastic price processes for which the characteristic functions are …

This paper considers the problem of numerically evaluating American option prices when
the dynamics of the underlying are driven by both stochastic volatility following the square …

Preventive maintenance planning is an important problem for the handling of energy
production systems with high down time costs. Throughout the last decade different …

The paper conceptualises new environmental derivatives, water options, which can be used
as an important leverage to facilitate the growing Australian water market. A model of water …

We develop a multi-element probabilistic collocation method (ME-PCM) for arbitrary discrete
probability measures with finite moments and apply it to solve partial differential equations …

Asymptotic linear stability is studied for stochastic differential equations (SDEs) that
incorporate Poisson-driven jumps and their numerical simulations using theta-method …

Markov chain Monte Carlo (MCMC) techniques are usually used to infer model parameters
when closed-form inference is not feasible, with one of the simplest MCMC methods being …

This paper considers a theoretical and an empirical study of an optimal pension fund in an
inflation environment in which the consumption–portfolio selection problem of an investor …

This paper aims to apply the real options game theoretic to study the impact of sudden
events on the optimal investment timing and capacity choice in a duopoly market. We model …