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Control variate methods and applications to Asian and basket options pricing under jump-diffusion models

Yongzeng Lai, Zhongfei Li and Yan Zeng.

in IMA Journal of Management Mathematics

January 2015; published online November 2013.

Journal Article. Subjects: Mathematics. 0 words.

In this paper, we discuss control variate methods with applications to Asian and basket options pricing under exponential jump diffusion models for the underlying asset prices. Conditional...

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The fortified Weiszfeld algorithm for solving the Weber problem

Zvi Drezner.

in IMA Journal of Management Mathematics

January 2015; published online November 2013.

Journal Article. Subjects: Mathematics. 0 words.

An improved Weiszfeld algorithm, termed the fortified Weiszfeld algorithm, for the solution of the single facility Weber problem with Euclidean distances is proposed. The new approach is...

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Risk and uncertainty in the patent race: a probabilistic model

Roy Cerqueti and Marco Ventura.

in IMA Journal of Management Mathematics

January 2015; published online December 2013.

Journal Article. Subjects: Mathematics. 0 words.

This article develops a novel probabilistic approach to evaluate, through an approximation, a patent-protected R&D project at a fixed date under very general conditions. In a real options...

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Estimating Malmquist indices and semi-parametric censored regressions with a coherent data-generating process

Tao Zhang.

in IMA Journal of Management Mathematics

January 2015; published online November 2013.

Journal Article. Subjects: Mathematics. 0 words.

This paper presents a semi-parametric method for bootstrapping non-stochastic estimates of Malmquist indices and the second-stage regressions with a coherent data-generating process (DGP)...

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A two-phase modified slack-based measure approach for efficiency measurement and target setting in data envelopment analysis with negative data

Reza Kazemi Matin and Mina Izadi Ghahfarokhi.

in IMA Journal of Management Mathematics

January 2015; published online November 2013.

Journal Article. Subjects: Mathematics. 0 words.

Conventional data envelopment analysis models have been introduced for technologies only with non-negative inputs and outputs. But in real-world applications, we have some outputs and/or...

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A stochastic programming approach for operating theatre scheduling under uncertainty

M. E. Bruni, P. Beraldi and D. Conforti.

in IMA Journal of Management Mathematics

January 2015; published online January 2014.

Journal Article. Subjects: Mathematics. 0 words.

Operating theatre scheduling is a critical task that directly impacts the efficient delivery of surgical care. In this context, we propose a comprehensive stochastic programming modelling...

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Robust stabilization of uncertain switched non-linear systems subject to actuator saturation

Yunliang Wei, Junwei Lu and Ze Li.

in IMA Journal of Mathematical Control and Information

September 2014; published online May 2013.

Journal Article. Subjects: Mathematics. 0 words.

This paper is concerned with the problem of robust stabilization for uncertain switched non-linear systems subject to actuator saturation and time-varying norm-bounded parameter...

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Optimal expansions of discrete-time bilinear models using Laguerre functions

Tarek Garna, Kais Bouzrara, José Ragot and Hassani Messaoud.

in IMA Journal of Mathematical Control and Information

September 2014; published online May 2013.

Journal Article. Subjects: Mathematics. 0 words.

In this paper, we propose a new reduced complexity model by expanding discrete-time bilinear model on Laguerre orthonormal bases. Thus the coefficients associated to the input, to the...

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Exponential stability of discrete-time recurrent neural networks with time-varying delays in the leakage terms and linear fractional uncertainties

Manfeng Hu, Jinde Cao and Aihua Hu.

in IMA Journal of Mathematical Control and Information

September 2014; published online May 2013.

Journal Article. Subjects: Mathematics. 0 words.

A class of discrete-time recurrent neural networks model is presented with the introduction of time-varying delays in the leakage terms and linear fractional uncertainties in parameters....

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Approximate controllability of fractional functional evolution inclusions with delay in Hilbert spaces

Zhenhai Liu, Jingyun Lv and R. Sakthivel.

in IMA Journal of Mathematical Control and Information

September 2014; published online May 2013.

Journal Article. Subjects: Mathematics. 0 words.

Recently, the problem of approximate controllability has been extensively studied by many authors. However, up to now approximate controllability problems for fractional functional...

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