We describe a novel physical application of the OctTree data structure [P. Meagher, Comput. Graphics Image Process 19(2) (1982) 129–147] in a dynamically tessellating algorithm, in conjunction with an object-oriented, constructive solid geometry library (DOC), to efficiently determine pore...

We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We...

Using a perturbation of the rate of a Poisson process and an inverse time change, an integration by parts formula is obtained. This enables a new form of the integrand in a martingale representation result to be obtained.

The last decade has witnessed a renewed interest in the relationship between environmental regulations and international capital flows. However, empirical studies have so far failed to find conclusive evidence for this so-called pollution haven or race to the bottom effect where foreign direct...

We consider a Markov switching regime and price a discount bond using a CIR-type short rate model. An explicit formula is obtained for the bond price which includes the solution of a matrix ODE. Our model is easy to calculate and captures the effect of regime uncertainty in the price and term...

The Markov-modulated (B; S)-securities market is a (B; S)-security market, consisting of riskless asset, bond B; and risky asset, stock S; in random media X; or (B; S)-security market driven by a Markov process xt 2 X: We study the pricing options for Markovmodulated fractional Brownian (B;...