The current demographic development puts even greater demands on the healthcare sector which is already struggling with scarce resources and constant pressure of cost reductions. This paper, through multiple case studies, aims to describe how automation of hospital internal logistics can be a...

We consider the Euler approximation of stochastic differential equations (SDEs) driven by Lévy processes in the case where we cannot simulate the increments of the driving process exactly. In some cases, where the driving process Y is a subordinated stable process, i.e., Y=Z(V) with V a...

We study simulated annealing algorithms to maximise a function [psi] on a subset of . In classical simulated annealing, given a current state [theta]n in stage n of the algorithm, the probability to accept a proposed state z at which [psi] is smaller, is exp(-[beta]n+1([psi](z)-[psi]([theta]n))...

Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of convergence of the expected squared hedging error as the...

We study the simulation of stochastic processes defined as stochastic integrals with respect to type G Lévy processes for the case where it is not possible to simulate the type G process exactly. The type G Lévy process as well as the stochastic integral can on compact intervals be represented...

We consider algorithms for simulation of iterated Itô integrals with application to simulation of stochastic differential equations. The fact that the iterated Itô integralconditioned on Wi(tn+h)-Wi(tn) and Wj(tn+h)-Wj(tn), has an infinitely divisible distribution utilised for the simultaneous...

Robust calibration of option valuation models to quoted option prices is non-trivial but crucial for good performance. A framework based on the state-space formulation of the option valuation model is introduced. Non-linear (Kalman) filters are needed to do inference since the models have latent...