This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...

This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...

We introduce a fast and widely applicable numerical pricing method that uses recursive projections. The method is based on a simple grid sampling of value functions and state-price densities. Numerical illustrations with different American and Bermudan payoffs with dividend paying stocks in the...

To investigate the coupled conduction-radiation heat transfer in C/SiC composites, a multiscale numerical method is proposed in this paper. The multiscale method combines a three-scale physical model and a multiscale mathematical method for predicting the thermal conductivity of composite...

We study the problem of predicting congestion risk in service systems, a factor associated with poor service experience, higher costs, and even medical risk (e.g., in ICUs). By predicting future congestion, decision- makers can initiate preventive measures such as rescheduling activities or...

Aims: To review the current state of hospital bed planning, and to develop a simple tool to estimate short-term future bed requirements using historical bed occupancy data. Study Design: Analysis of daily bed occupancy between January 2008 and October 2015. Synthesis of trends into a method for...

We study the estimation of the probability distribution of individual patient waiting times in an emergency department (ED). Our feature-rich modelling allows for dynamic updating and refinement of waiting time estimates as patient- and ED-specific information (e.g., patient condition, ED...