The simulation of the Libor Market Model (LMM) is extensively studied in the framework of quantum finance. The imperfectly correlated Libor rates are simulated based on a Gaussian quantum field and a recursion equation of nontrivial stochastic drift. The Libor options are studied using both the...

The effects of structural breaks in dynamic panels are more complicated than in time series models as the bias can be either negative or positive. This paper focuses on the effects of mean shifts in otherwise stationary processes within an instrumental variable panel estimation framework. We...

A computational model system is proposed for the prediction of sea dike breaching initiated from the seaward side by breaking wave impact with the focus on the application of the model system for the estimation failure probability of the defence structure. The described model system is built...

We address the problem of gradient estimation with respect to four characterizing parameters of the Meixner distribution and Lévy process. With the help of the explicit marginal probability density function, the likelihood ratio method is directly applicable, while unbiased estimators may...

Statistical inferences about the dispersion of multivariate population are determined by generalized variance. In this article, we consider constructing a confidence interval and testing the hypotheses about the ratio of two independent generalized variances, and the ratio of two dependent...

This paper proposes a generalized repeat sales regression (GRSR) that uses repeat sales from the entire market, in which properties may have heterogeneous value appreciation processes, to estimate price indices for not only the entire market, but also submarkets or customized portfolios of...

We present a general control variate method for simulating path dependent options under Lévy processes. It is based on fast numerical inversion of the cumulative distribution functions and exploits the strong correlation of the payoff of the original option and the payoff of a similar option...