The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical exponential Brownian motion model carry over to a stochastic volatility setting. The properties of the classical...

We present an economically motivated two-factor term structure model that generalizes existing stochastic mean term structure models. By allowing a certain parameter to acquire dynamical behavior we extend the two-factor model to obtain a nonlinear three-factor model that is shown, in a...

Evidence from the financial markets suggests that empirical returns distributions, both historical and implied, do not arise from diffusion processes. A growing literature models the returns process as a Levy process, finding a number of explicit formulae for the values of some derivatives in...

This paper reports the application of an evidential reasoning (ER) approach, to deal with the evaluation of a contractor, from among different fabrication options of aero-engine equipment. This is followed by a review of current evaluation practices, which begins by highlighting their...

The cause of low back pain in populations of professional drivers is uncertain. A literature reviewrevealed factors that seem to be associated with low back pain (e.g. physical factors: exposure towhole body-vibration, prolonged sitting posture, frequent lifting, pushing and pulling, lack of...

A central prediction of a large class of theoretical models is that industry location is not necessarily uniquely determined by fundamentals. In these models, historical accident or expectations determine which of several steady-state locations is selected. Despite the theoretical prominence of...

Congestion severely affects air traffic in the US and Europe. To protect air traffic controllers from overloads a planning activity, Air Traffic Flow Management (ATFM), emerged during the 1970s. ATFM control actions range from departure delays to the re-routing of flights. This research...