We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automatically makes them singular. As a result, one cannot just...

In this paper, we consider deterministic (both fluid and discrete) polling systems with N queues with infinite buffers and we show how to compute the best polling sequence (minimizing the average total workload). With two queues, the best polling sequence is always periodic when the system is...

The article analyses an approach to construction of the mathematical model for the commercial banking industry based upon set theory, abstract algebra, and computational linguistics.

Markov chain theory is proving to be a powerful approach to bootstrap highly nonlinear time series. In this work we provide a method to estimate the memory of a Markov chain (i.e. its order) and to identify its relevant states. In particular the choice of memory lags and the aggregation of...

The article analyses an approach to construction of the mathematical model for the bank based upon set theory and abstract algebra. It is shown that selection of correspond algebraic structure for simulation is influence directly on basis of methods for solving engineering and economical...

Demand management is an important component of the emerging Smart Grid, and a potential solution to the supply-demand imbalance occurring increasingly as intermittent renewable electricity is added to the generation mix. Model predictive control (MPC) has shown great promise for controlling HVAC...

We derive a closed-form expression for the bilateral credit valuation adjustment of a credit default swap in presence of simultaneous defaults. We develop our analysis under a default intensity model specified by a class of three-dimensional subordinators, allowing for default dependence through...

The Ramsey model of economic growth is revisited from the perspective of viability theory. The Ramsey model, augmented with minimal consumption and sustainability criteria, becomes a viability problem. The framework allows for a clear picture of optimal viable, optimal nonviable, and viable...

We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automat-ically makes them singular. As a result, one cannot just...

We propose a nonlinear filter to estimate the time-varying default risk from the term structure of credit default swap (CDS) spreads. Based on the numerical solution of the Fokker–Planck equation (FPE) using a meshfree interpolation method, the filter performs a joint estimation of the...