We apply numerical dynamic programming to multi-asset dynamic portfolio optimization problems with proportional transaction costs. Examples include problems with one safe asset plus two to six risky stocks, and seven to 360 trading periods in a finite horizon problem. These examples show that it...

In order to incentivize stronger issuer due diligence effort, European and U.S. authorities are amending securitization-related regu- lations to force issuers to retain an economic interest in the securitization products they issue. This paper contributes to the process by exploring the...

NSE is an R package for computing the numerical standard error (NSE), an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. The package provides a set of wrappers around several R packages, which give access to more than thirty...

The aim of this study is to compare the numerical model of grouped stud behavior with the experimental results to validate the model under pulsating load. To this end, a numerical model is developed to estimate the static behavior of studs in grouped arrangement, which is often used in the...

The temperature response in the soil surrounding multiple boreholes is evaluated analytically and numerically. The assumption of constant heat flux along the borehole wall is examined by coupling the problem to the heat transfer problem inside the borehole and presenting a model with variable...

In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and since then the method has rapidly gained importance. However, the idea of using regression and simulation for American option pricing was used at least as early as in Carriere...