In this paper, we use the speed-gradient (SG) model proposed by Jiang et al. [Transportation Research Part B, 36 (2002) 405–419] to study the initial value problem of traffic flow. The evolution of multi-traffic waves is examined through setting piecewise continuous initial density. Numerical...

Preface -- 1. Introduction -- 2. The Cauchy problem for linear hyperbolic equations -- 3. Initial boundary value problems for linear hyperbolic systems -- 4. Applications to the wave equation and strong discontinuties -- A. Local existence of shock-front solutions of quasilinear hyperbolic...

This paper presents a 3D model for pricing defaultable bonds with embedded put/call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and put/call provision. Both the stochastic interest...

In this paper analytical solutions for European option prices are derived for a class of rather general asset specific pricing kernels (ASPKs) and distributions of the underlying asset. Special cases include underlying assets that are lognormally or log-gamma distributed at expiration date T....

We are interested in the efficiency of the so called Haselgrove’s method (cf. [Math. Comp. 15 (76) (1961) 323; Math. Comp. 39 (160) (1982) 549]) for the evaluation of the multiple integral I=∫01∫01⋯∫01f(x1,x2,…,xp)dx1dx2⋯dxp.This is a kind of Monte Carlo method but different from it...