The Fe–Ni–Cr alloy is a potential material as bipolar plate for PEMFC (proton exchange membrane fuel cell), and the stamped metallic bipolar plate is a promising candidate instead of traditional graphite due to the advantages of mass production, low cost and excellent performance. The...

Multiple branching trees have been used to model the acquisition of HIV drug resistance mutations, and several different algorithms have been developed to construct the tree set that best describes the data. These algorithms have mainly focused on the structure of the tree set. The focal point...

Many observers have recently noted that the international system is evolving into a multipolar world. At the same time, the notion of balance of power is being severely criticized for its vagueness and inconsistency. Seven empirically testable propositions which exemplify refined and narrowed...

These are course notes on the application of SDEs to options pricing. The author being partially supported by NSF grant DMS-0739195.

Volatility products have become popular in the past 15 years as a hedge against market uncertainty. In particular, there is growing interest in options on the VIX volatility index. A number of recent empirical studies have examine whether there is significantly greater risk premium in VIX...

We formulate and analyse an inverse problem using derivative prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using Bayesian filtering. However, derivative data can be...

These notes were originally written for the Stochastic Analysis Seminar in the Department of Operations Research and Financial Engineering at Princeton University, in February of 2011. The seminar was attended and supported by members of the Research Training Group, with the author being...

We explore the inversion of derivatives prices to obtain an implied probability measure on volatility's hidden state. Stochastic volatility is a hidden Markov model (HMM), and HMMs ordinarily warrant filtering. However, derivative data is a set of conditional expectations that are already...