We propose a new method to calibrate the local volatility function of an asset from observed option prices of the underlying. Our method is initialized with a preprocessing step in which the given data are smoothened using cubic splines before they are differentiated numerically. In a second...

A problem encountered in growth empirics is that the number of explanatory variables is large compared to the number of observations. This makes it impossible to condition on all regressors when determining if a variable is important. We investigate methods used to resolve this problem: Extreme...

This study presents numerical schemes for solving two three-dimensional parabolic inverse problems. These schemes are developed for indentifying the parameter p(t) which satisfy ut=uxx+uyy+uzz+p(t)u+φ, in R×(0,T], u(x,y,z,0)=f(x,y,z),(x,y,z)∈R=[0,1]3. It is assumed that u is known on the...

Maximum Probability method is used to translate possibly contiguous and overlapping categorical observations into frequencies.