We develop a highly efficient, easy-to-implement, and strictly monotone numerical
integration method for Mean-Variance (MV) portfolio optimization. This method proves very …

Abstract Continuous time Markov Chain (CTMC) approximation techniques have received
increasing attention in the option pricing literature, due to their ability to solve complex …

In the present study, a laser-induced fluorescent (LIF) detector was developed for pesticide
residue detection based on a microfluidic-based fluorescent sensor array (MFSA). A spectral …

In this article, compact finite difference approximations for first and second derivatives on the
non-uniform grid are discussed. The construction of diffusion wavelets using compact finite …

This work presents an efficient computational framework for pricing a general class of exotic
and vanilla options under a versatile stochastic volatility model. In particular, we propose the …

This paper introduces FourNet, a novel single-layer feed-forward neural network (FFNN)
method designed to approximate transition densities for which closed-form expressions of …

We present a robust and highly efficient Shannon wavelet pricing method for plain-vanilla
foreign exchange European options under the jump-extended Heston model with multi …

We develop a highly efficient MC method for computing plain vanilla European option prices
and hedging parameters under a very general jump-diffusion option pricing model which …

Abstract The Basel Committee of Banking Supervision has recently set out the revised
standards for minimum capital requirements for market risk. The Committee has focused …

This paper develops and analyses convergence properties of a novel multi-level Monte-
Carlo (mlMC) method for computing prices and hedging parameters of plain-vanilla …