We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier study, under 20 different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian third‐order...

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the...

We present a fast method to price and hedge CMS spread options in the displaced-diffusion co-initial swap market model. Numerical tests demonstrate that we are able to obtain sufficiently accurate prices and Greeks with computational times measured in milliseconds. Further, we find that CMS...

We develop an efficient algorithm to implement the adjoint method that computes sensitivities of an interest rate derivative to different underlying rates in the co-terminal swap-rate market model. The order of computation per step of the new method is shown to be proportional to the number of...

In this paper, following our previous work on civil service examinations in imperial China, we investigate women's role in a Chinese historical family line using an agent-based simulation (ABS) model with a grid oriented genetic algorithm (GOGA) framework. We utilize a GOGA framework, because...

The conventional sequential four-step procedure of travel demand forecasting has been widely adopted by practitioners. However, it suffers from inconsistent consideration of travel times and congestion effects in various steps of the procedure. A combined travel demand model overcomes the...

With the support of national policy of building Yunnan into a gateway in China’s opening up to the Southwest, Yunnan Province offered the great opportunity for second time of starting an undertaking for tourism, and the landscape agriculture welcomes a new development opportunity. On the...

The research reported in this paper develops a network-level traffic flow model (NTFM) that is applicable for both motorways and urban roads. It forecasts the traffic flow rates, queue propagation at the junctions and travel delays through the network. NTFM uses sub-models associated with all...

This study presents the auxiliary damping control with the reactive power loop on the rotor-side converter of doubly-fed induction generator (DFIG)-based wind farms to depress the sub-synchronous resonance oscillations in nearby turbogenerators. These generators are connected to a series...

In this paper we consider problems of the following type: Let E = { e 1 , e 2 ,..., e n } be a finite set and $${\mathcal {F}}$$ be a family of subsets of E. For each element e i in E, c i is a given capacity and $${\mathcal {w}}$$ i is the cost of increasing capacity c i by one unit. It is...