We show that the standard Value Function Iteration (VFI) algorithm has difficulties approximating models with jump discontinuities in policy functions. We find that VFI fails to accurately identify the location and size of jump discontinuities while other methods - such as the Endogenous Grid...

We consider the saddlepoint approximation methods for pricing derivatives whose payoffs depend on the discrete realized variance of the underlying price process of a risky asset. Most of the earlier pricing models of variance products and volatility derivatives use the quadratic variation...

"This book is devoted to recent developments, reviews and tutorials of decision making or optimization under uncertainty. Different models ranging from stochastic to grey and their connection will be outlines with highlighting possible future works along with applications on real case problems."

"This book is devoted to recent developments, reviews and tutorials of decision making or optimization under uncertainty. Different models ranging from stochastic to grey and their connection will be outlines with highlighting possible future works along with applications on real case problems"--