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When continuous-time portfolio weights are applied to a discrete-time hedging problem, errors are likely to occur. This paper evaluates the overall importance of the discretization-induced tracking error. It does so by comparing the performance of Black-Sc ...
We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artificial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...
Piano key weirs (PKWs) are a weir type characterized by an effective rating curve. Accordingly, this control structure is primarily applied at dams to increase the spillway capacity. In recent years, PKWs also have been implemented in rivers combined with ...
We present a coupling of the reduced basis methods and free-form deformations for shape optimization and design of systems modelled by elliptic PDEs. The free-form deformations give a parameterization of the shape that is independent of the mesh, the initi ...
