This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions...

The paper describes the approach used for the calibration of a price-endogenous programming model, developed for the agricultural sector of the region Khorezm in Uzbekistan. Extensive datasets from farm surveys were used to parameterize the model, which nevertheless tended to over-specialization...

Utility functions have been used widely to support multi-objective decision-making. Expansion of a general additive utility function around the ideal results in a composite linear-quadratic metric of a compromise programming problem. Determining the unknown parameters of the composite...

This paper considers the realistic modelling of derivative contracts on exchange rates. We propose a stochastic volatility model that recovers not only the typically observed implied volatility smiles and skews for short dated vanilla foreign exchange options but allows one also to price payoffs...

Hydraulic tomography is a powerful technique for characterizing heterogeneous hydrogeologic parameters. An explicit trade-off between characterization based on measurement misfit and subjective characterization using prior information is presented. We apply a Bayesian geostatistical inverse...

Within the framework of their Local Transport Plan (LTP), a five-year transport programme running until 2011, authorities of the British Metropolitan County of Merseyside are seeking for ways to provide their territory with a safer, more reliable and more sustainable transport network. The key...

This paper presents an improved continuous-time Markov chain approximation (MCA) methodology for pricing derivatives and for calibrating model parameters. We propose a generalized nonequidistant grid model for a general stochastic differential equation, and extend the proposed model to...