We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce the fundamental BSDE to a continuous BSDE. Depending on...

In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis...

In the past decades, genetic algorithms (GA), particle swarm optimization (PSO) algorithms, and BOX algorithms have been used in natural gas liquefaction process optimization. Since all three methods can find a solution for a given objective function but adopt different strategies and...

The mixed refrigerant (MR) process is the preferred choice for most LNG plants. However, due to the complexity of refrigerant components and parameters, and their interaction, the MR process must be optimized to take full advantage of its efficiency. The optimization of processes has received...