PCMs (Phase change materials) are used to enhance the thermal storage capacity of building walls, decrease indoor air temperature fluctuations, and shift peak heat transfer rates to off-peak times. PCM location within building walls is recognized to be critical for the optimum performance of the...

Phase change materials (PCMs) are used to enhance the thermal storage capacity of building walls. PCM incorporation into building walls poses several design challenges; a critical one being the integration method (e.g., micro- vs. macro-encapsulation) as well as the location of PCMs within the...

This article solves the portfolio choice problem in a multi-asset jump-diffusion model. We decompose the optimal portfolio weight into components that correspond to a collection of fictitious economies, one of which is a standard diffusion economy, and the others of which are pure-jump...

Quasi-Monte Carlo methods overcome the problem of sample clustering in regular Monte Carlo simulation and have been shown to improve simulation efficiency in the derivatives pricing literature when the price is expressed as a multidimensional integration and the integrand is suitably smooth. For...

Quantile estimation has become increasingly important, particularly in the financial industry, where value at risk (VaR) has emerged as a standard measurement tool for controlling portfolio risk. In this paper, we analyze the probability that a simulation-based quantile estimator fails to lie in...

This paper studies the problem of pricing high-dimensional American options. We propose a method based on the state-space partitioning algorithm developed by Jin et al. (2007) and a dimension-reduction approach introduced by Li and Wu (2006). By applying the approach in the present paper, the...