This paper presents three factor "Extended Gaussian" term struc- ture models (EGM) to price default-free and defaultable bonds. To price default-free bonds EGM assume that the instantaneous interest rate is a possibly non-linear but monotonic function of three latent factors that follow...

Master of Science

Organic phase change materials have been attracting great attentions for their promising potential in thermal energy storage applications. Due to their poor thermal conductivity and thermal diffusivity, thermally conductive fillers are often added to form composites to enhance the thermal...

In the paper, we propose a numerical technique based on a finite difference scheme in space and an implicit time-stepping scheme for solving the Hamilton–Jacobi–Bellman (HJB) equation arising from the penalty formulation of the valuation of European options with proportional transaction...

The use of photovoltaic (PV) systems has been showing a significant growth trend but for a more effective development of this technology it is essential to have higher energy conversion performances. Producers of PV often declare an higher efficiency respect to real conditions and this deviation...

We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a valuation model in terms of a dynamic programming problem where the option can...