A new, simple algorithm of order 2 is presented to approximate weakly stochastic differential equations. It is then applied to the problem of pricing Asian options under the Heston stochastic volatility model. 2000 Mathematics Subject Classification, 65C30, 65C05.

<p>The analysis of securities is an essential element of investment. It is a complex and, very frequently, long-lasting process. Depending on the assumed time perspective of an investment, the analysis may be carried out on the basis of appropriate tools within technical or fundamental analysis....</p>

We present a hybrid multiscale method for coupling quantum mechanicsto empirical molecular dynamics, which is named as hybrid energydensity method. In this approach, quantum mechanical treatment isspatially confined to a small region, surrounded by a largermolecular mechanical region. A unified...

We consider the option pricing model proposed by Mancino and Ogawa, where the implementation of dynamic hedging strategies has a feedback impact on the price process of the underlying asset. We present numerical results showing that the smile and skewness patterns of implied volatility can...

We provide a Matlab quadratic optimization tool based on Markowitz's critical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to...

On nanoscale, thermal conduction is affected by system size. The reasons are increased phonon scattering and changes in phonon group velocity. In this paper, the in-plane thermal resistivity of nanoscale silicon thin films is analyzed by molecular dynamics (MD) techniques. Modifications to the...

We present here the continuation of an investigation of the irradiation-induced swelling of SiC using classical molecular dynamics (CMD) simulations. Heavy ion irradiation has been assumed to affect the material in two successive steps (a) creation of local atomic disorder, modeled by the...

We introduce a ''new'' algorithm that can be used to solve stochastic dynamic general equilibrium models. This approach exploits the fact that the equations defining equilibrium can be viewed as set of algebraic equations in the neighborhood of the steady-state. Then a recursive scheme, which...