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The martingale approach for credit-risky exchange option pricing
Exchange option Girsanov’s theorem
2010/9/10
An exchange option allows its holder to exchange one asset for another at maturity. In this short paper, the martingale approach, which is based on Continuous martingale representation theorem and Gir...
Improved Zonal Method Predictions in a Rectangular Furnace by Smoothing the Exchange Areas
Zone method exchange areas smoothing methods rectangular enclosure
2009/10/9
A numerical study was conducted by the means of the Hottel’s zone method based on the concept of the exchange areas associated with the weighted sum of grey gases model (WSGG model). 2D computational ...
A state space search algorithm and its application to learn the short-term foreign exchange rates
State space search discrete recurrent neural networks absolutelystable foreign exchange rates
2010/9/13
We propose the use of a state space search algorithm of the discretetime recurrent neural network to learn the short-term foreign exchange rates. By searching in the neighborhood of the target traject...
Testing for Long Memory in the Asian Foreign Exchange Rates
Exchange rates long memory plug-in method Whittle method
2007/12/11
In this paper, we use the plug-in and Whittle methods that are based on spectral regression analysis to test for the long memory property in 12 Asian/dollar daily exchange rates. The results according...
