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American option pricing in Gauss–Markov interest rate models

Galluccio, Stefano - In: Physica A: Statistical Mechanics and its Applications 269 (1999) 1, pp. 61-71

In the context of Gaussian non-homogeneous interest-rate models, we study the problem of American bond option pricing. In particular, we show how to efficiently compute the exercise boundary in these models in order to decompose the price as a sum of a European option and an American premium....

Persistent link: https://www.econbiz.de/10010664802

Centralized versus decentralized control—A solvable stylized model in transportation

Hongler, Max-Olivier; Gallay, Olivier; Hülsmann, Michael; … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 19, pp. 4162-4171

Today’s supply networks consist of a certain amount of logistics objects that are enabled to interact with each other and to decide autonomously upon their next steps; in other words, they exhibit a certain degree of autonomous cooperation. Therefore, modern logistics research regards them as...

Persistent link: https://www.econbiz.de/10011063678

Some general remarks on superconductivity

Zee, A. - In: Physica A: Statistical Mechanics and its Applications 281 (2000) 1, pp. 442-449

We make some general remarks about high-temperature superconductivity. A review of duality in (2+1) dimensional field …

Persistent link: https://www.econbiz.de/10010871723

Explicit conversion from the Casimir force to Planck's law of radiation

Fukushima, Kenji; Ohta, Koichi - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 3, pp. 455-460

system. The temperature inversion symmetry and the duality relation in the thermodynamics are also discussed. We conclude …

Persistent link: https://www.econbiz.de/10010589681

Fa-Yueh Wu's contributions in physics

Maillard, J.-M. - In: Physica A: Statistical Mechanics and its Applications 321 (2003) 1, pp. 28-44

We sketch a subset of Professor F.Y. Wu's contributions in lattice statistical mechanics, solid state physics, graph theory, enumerative combinatorics and other domains of physics and mathematics. We will recall some of F.Y. Wu's most important and well-known classic results and we will also...

Persistent link: https://www.econbiz.de/10010589777

Generalized thermostatistics based on deformed exponential and logarithmic functions

Naudts, Jan - In: Physica A: Statistical Mechanics and its Applications 340 (2004) 1, pp. 32-40

The equipartition theorem states that inverse temperature equals the log-derivative of the density of states. This relation can be generalized by introducing a proportionality factor involving an increasing positive function φ(x). It is shown that this assumption leads to an equilibrium...

Persistent link: https://www.econbiz.de/10011061457

Duality and spatial inhomogeneity

Piasecki, R; Plastino, A - In: Physica A: Statistical Mechanics and its Applications 305 (2002) 1, pp. 113-118

Within the framework on non-extensive thermostatistics we revisit the recently advanced q-duality concept. We focus our … measure exhibits a generalised duality that links appropriate pairs of q and q′ values. The simplest q↔q′ invariant function … value at q0, this invariant function accurately approximates the investigated q-measure, nitidly evidencing the duality …

Persistent link: https://www.econbiz.de/10011064593