This paper considers interest rate term structure models in a market attracting both continuous and discrete types of uncertainty. The event-driven noise is modelled by a Poisson random measure. Using as numeraire the growth optimal portfolio, interest rate derivatives are priced under the...

The Basel II framework allows the calculation of the capital requirements for market risk with Value-at-Risk models. Since no special model is prescribed in the framework, banks may use simple models with questionable assumptions concerning their underlying distributions. Our numerical analysis...

The Scotia Arc is one of two regions in the Atlantic Ocean with greater potential for tsunami generation from seismic and volcanic sources. A numerical modeling study was undertaken to determine tsunami generation from postulated sources along the Arc and tsunami wave amplification or...

We study the efficiency of parallel tempering Monte Carlo technique for calculating true ground states of the Edwards–Anderson spin glass model. Bimodal and Gaussian bond distributions were considered in two- and three-dimensional lattices. By a systematic analysis we find a simple formula to...

Debris flow disasters are usually accompanied by serious loss of lives and properties. However, debris flows are also part of earth’s natural phenomenon, and so what is the reasonable budget to be spent on mitigation measures becomes an important issue for the budget allocation processes....

A number of mortgage prepayment models require a specification of the mortgage rate process. Usually, ad-hoc models are used (e.g., a Treasury yield plus some constant). Recently, a number of papers have appeared where the authors have utilized a mortgage rate implied by the current yield curve...