We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...
Given a sequence L & x2d9;epsilon of Levy noises, we derive necessary and sufficient conditions in terms of their variances sigma 2(epsilon) such that the solution to the stochastic heat equation with noise sigma(epsilon)-1L & x2d9;epsilon converges in law ...
An important part of the electricity production relies on heat conversion. Indeed power plants burn fuels like natural gas, coal or use nuclear fission to produce heat that can be transformed into electricity through a thermodynamic cycle and the mechanica ...
The wave functions of a disordered two-dimensional electron gas at the quantum-critical Anderson transition are predicted to exhibit multifractal scaling in their real space amplitude. We experimentally investigate the appearance of these characteristics i ...
Spatially non-local aspects of turbulent transport in tokamak plasmas are examined with global gyrokinetic simulations using the ORB5 code. Inspired by very accurate measurements in the TCV tokamak in L-mode, we initialise plasma profiles with constant log ...
The efficiency of stochastic particle schemes for large scale simulations relies on the ability to preserve a uniform distribution of particles in the whole physical domain. While simple particle split and merge algorithms have been considered previously, ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
Recent years have seen the development of mature solutions for reconstructing deformable surfaces from a single image, provided that they are relatively well-textured. By contrast, recovering the 3D shape of texture-less surfaces remains an open problem, a ...
Ambient concentrations of ice-forming particles measured during ship expeditions are collected and summarised with the aim of determining the spatial distribution and variability in ice nuclei in oceanic regions. The presented data from literature and prev ...
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the ...
