This paper deals with further developments of the new theory that applies stochastic differential geometry (SDG) to dynamics of interest rates. We examine mathematical constraints on the evolution of interest rate volatilities that arise from stochastic differential calculus under assumptions of...

The SEARCH (Search Envisioned As Relation and Class Hierarchizing) framework developed elsewhere (Kargupta, 1995; Kargupta and Goldberg, 1995) offered an alternate perspective toward blackbox optimization -- optimization in presence of little domain knowledge. The SEARCH framework investigates the...

Many contemporary publications on network traffic gravitate to ideas of self-similarity and long-range dependence. The corresponding elegant and parsimonious mathematical techniques proved to be efficient for the description of a wide class of aggregated processes. Sharing the enthusiasm about...

This paper advocates the utility of mathematical models, as contrasted with statistical procedures and processional judgment, for assessing environmental impacts. While it would be desirable to use statistical tests to detect and estimate impacts, this is generally difficult or impossible to do,...

This study aims to investigate whether the phenomena found by Shnoll et al. when applying histogrampattern analysis techniques to stochastic processes from chemistry and physics are also present infinancial time series, particularly exchange rate and index data. The phenomena are related to...

The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a...

The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special...

Research in the area of stochastic models for actuarial use in South Africa is limited torelatively few publications. Until recently, there has been little focus on actuarialstochastic models that describe the empirical stochastic behaviour of South Africanfinancial and economic variables. A...

Despite its recent advent, value at risk (VaR) became the most widely usedtechnique for measuring future expected risk for both financial and non-financialinstitutions. VaR, the measure of the worst expected loss over a given horizon at a givenconfidence level, depends crucially on the...

This thesis focuses on increasing the efficiency of systems with cross-trained workforce and finite storage spaces. Our objective is to maximize the throughput and minimize the setup costs (if they exist). More specifically, we are interested in determining effective cross-training strategies...