This paper extends the traditional duration measure for continuous-time Heath/Jarrow/Morton models. The result is a general Heath/Jarrow/Morton duration measure based on a zero-coupon yield for an arbitrary maturity as state variable. A convexity measure compatible to this generalized duration...

In a partition function game the worth of a deviation depends on the reaction of outsiders; the beliefs about the possible reaction are crucial for the stability of an existing agreement. In contrast with existing approaches we look at the residual reaction from the point of view of the residual...

We prove an equivalence of the conditional Wiener measure and the centered Gaussian measure in with the correlation operator , taken with zero Dirichlet boundary conditions, which implies the equality of the integrals over these measures of an arbitrary functional in integrable over the second...

The main goal of this work is the further development of neoclassical analysis, which extends the scope and results of the classical mathematical analysis by applying fuzzy concepts to conventional mathematical objects, such as functions, sequences, and derivatives. This allows us to reflect and...

The purpose of this article is to price secondary market yield-based floating rate notes (SMY-FRNs) subject to default risk. SMY-FRNs are derivatives on the default-free term structure of interest rates, on the term structures for default-risky credit classes, and on the structure of a...

We study generalized indicators of sensitivity to initial conditions and orbit complexity in topological dynamical systems. The orbit complexity is a measure of the asymptotical behavior of information that is necessary to describe the orbit of a given point. The indicator generalizes, in a...

A combined scheme for the solution of the Cauchy equation of motion and the Phan-Thien/Tanner (P-T/T) constitutive equation is developed to solve the nonlinear problem of pressure and stress induced non-Newtonian flow, known as a (P,U,) system. We start with the solution of the Navier-Stokes...

The visco-elastic fluids in computational fluid mechanics (CFM) is an important problem to study. The simulation of the process of shear and elongation material has been successfully carried out in our previous reports (reference [1]). A mixed computational and mathematical approach in...