We introduce a new approach to model the market smile for inflation-linked derivatives by defining the Quadratic Gaussian Year-on-Year inflation model -- the QGY model. We directly define the model in terms of a year-on-year ratio of the inflation index on a discrete tenor structure, which,...

Measuring the performance of stock portfolios that include options is challenging due to options' nonlinearity in the underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we provide a theoretically rigorous derivation of the...

This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also...

We present deterministic and stochastic goal programming models for coordinating of flock collection activities in a poultry processing company. The aim is to develop weekly schedules that balance three goals: ensuring a steady workload in the processing facility, reducing processing defects due...

An Overview of RBC models -- Dynare Foundations: solving and simulating DSGE models -- RBC model with analytical solution -- RBC model with constant labor -- RBC model with variable labor -- RBC model with shock to investment and variable use of capital -- Small Open Economy RBC -- Dynamic...

The usual derivation of the Fokker-Planck partial differential eqn. (pde) assumes the Chapman-Kolmogorov equation for a Markov process [1,2]. Starting instead with an Ito stochastic differential equation (sde), we argue that finitely many states of memory are allowed in Kolmogorov’s two pdes,...