Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance [PDF]
We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are $C^{1,\alpha}$ regular on special finite dimensional subspaces. The problem has origins in pricing and hedging of derivatives of risky assets in mathematical finance.
arxiv
Change of Measure in Midcurve Pricing [PDF]
We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show how they capture the midcurve swaption correlation skew.
arxiv
Optimal Control of Stochastic Functional Differential Equations with Application to Finance [PDF]
This work is devoted to the study of optimal control of stochastic functional differential equations (SFDEs) and its application to mathematical finance. By using the Dynkin formula and solution of the Dirichlet-Poisson problem, the Hamilton-Jacobi-Bellman (HJB) equation and the converse HJB equation are derived.
arxiv
Correction: Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994, 4/2, 155–167) [PDF]
Jin‐Chuan Duan
openalex +1 more source
Multi‐institutional study on image quality for a novel CBCT solution on O‐ring linac
Abstract Introduction This work presents a multi‐institutional study on image quality provided by a novel cone beam computed tomography (CBCT). The main goal is to investigate the consistency of imaging performance across multiple institutions.
Luis Agulles‐Pedrós+11 more
wiley +1 more source
Y.K. Kwok: Mathematical Models of Financial Derivatives. Springer Finance, Singapore, ISBN 981 3083 255 (hardcover), 981 3083 565 (soft-cover), 1998. [PDF]
Andrew J. G. Cairns
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Financial Innovation for an Aging World [PDF]
Over the last half-century, around the world, many nations have seen plummeting fertility rates and mounting life expectancies. These two factors are the engine behind unprecedented global aging.
John Piggott+3 more
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Evaluation of the effect of metal stents on dose perturbation in the carbon beam irradiation field
Abstract Propose Carbon ion therapy is indicated for cases in which stents have been inserted, such as bile ducts, but the effect of metal stents on carbon ion therapy is unclear. In this study, the dose perturbation of carbon ion therapy caused by metallic bile duct stents was evaluated by dosimetry. Materials and methods Five different types of metal
Yuya Miyasaka+8 more
wiley +1 more source
Governing global finance: financial derivatives, liberal states, and transformative capacity [PDF]
William D. Coleman
openalex +1 more source
Administering Systemic Risk vs. Administering Justice: What Can We Do Now that We Have Agreed to Pay Differences? [PDF]
Professor Stout's brilliant concept of disagreement-based speculation (in "Risk, Speculation, and OTC Derivatives: An Inaugural Essay for Convivium") calls for further developments and studies concerning implications for stability and resilience of the ...
Pierre-Charles Pradier
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