Real Options for Project Schedules (ROPS) has three recursive sampling/optimization shells. An outer Adaptive Simulated Annealing (ASA) optimization shell optimizes parameters of strategic Plans containing multiple Projects containing ordered Tasks. A middle shell samples probability...

Motivated by a previous path-integral numerical algorithm for diffusion processes, PATHINT, we present a new tree algorithm, PATHTREE, an extremely fast accurate algorithm for developing probability distributions of general nonlinear Markovian-Gaussian diffusion processes

We generalize the functional form of the diffusion of the Black Scholes process and consider multi-factor models including stochastic volatility. Daily Eurodollar futures prices are fit to diffusions using methods of global optimization, Adaptive Simulated Annealing (ASA). These short-time...

We demonstrate that the volatility of Eurodollar options possesses its own volatility, and that this volatility of volatility appears to be a stochastic process. We give a theoretical approach to incorporate this stochastic volatility process into a generalization of the standard Black-Scholes...

We describe a real-time, internet-based Samp;P futures trading system, including a description of general aspects of internet-mediated interactions with electronic exchanges. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a...

The essential math-physics and associated numerical algorithms underlying a reasonable approach to trading a portfolio of options (PO) is outlined. A description is given of risk- slides, asset disbursement, dynamic balancing, and value indicators

Motivated by path-integral numerical solutions of diffusion processes, PATHINT, we present a new tree algorithm, PATHTREE, which permits extremely fast accurate computation of probability distributions of a large class of general nonlinear diffusion processes

The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic...

The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic...

We present empirical evidence for considering volatility of Eurodollar futures as a stochastic process, requiring a generalization of the standard Black-Scholes (BS) model which treats volatility as a constant. We use a previous development of a statistical mechanics of financial markets (SMFM)...