Results 221 to 230 of about 71,077 (260)
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Derivation of the Closed-Form Solution to the Mori Formula
Journal of the Physical Society of Japan, 1997Summary: The closed-form solution to the memory function in the generalized Langevin equation (Mori formula), obtained as a series expansion in terms of the projection operator, is rederived without use of the expansion method. The procedure for approximation of the closed-form solution is briefly mentioned.
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A closed-form formula for the conditional moments of the extended CIR process
Journal of Computational and Applied Mathematics, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A Closed Form Formula for Valuing Mortgages
The Journal of Real Estate Finance and Economics, 1999We develop a closed form formula for the value of a fixed-rate residential mortgage that includes the provision that the borrower can prepay at any time with no penalty. The value of the mortgage equals the expectation, under the risk neutral probability measure, of the future cash flows.
Collin-Dufresne, P., Harding, John P.
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A General Closed Form Option Pricing Formula
SSRN Electronic Journal, 2013A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the Gauss-Hermite expansion. This expansion converges for fat-tailed distributions commonly encountered in the study of
Necula, Ciprian +2 more
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Closed form of the rotational Crofton formula
Mathematische Nachrichten, 2011AbstractThe closed form of a rotational version of the famous Crofton formula is derived. In the case where the sectioned object is a compact d‐dimensional C2 manifold with boundary, the rotational average of intrinsic volumes (total mean curvatures) measured on sections passing through a fixed point can be expressed as an integral over the boundary ...
Auneau, J. +2 more
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A Closed-Form Formula for Pricing Variance Swaps on Commodities
Vietnam Journal of Mathematics, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Weraprasertsakun, Anurak, Rujivan, Sanae
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On formulas in closed form for van vleck expansions
International Journal of Quantum Chemistry, 1972AbstractCanonical transformations have been widely used to simplify Hamiltonians and other operators. In molecular and in solid state theory, the so‐called Van Vieck expansion is usually employed for this purpose while in theories of particles interacting with fields a combination of canonical transformations in closed form with Van Vleck type ...
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