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,...

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

Diffusion modeling of commodity price behavior is important for commodity risk management. This research seeks to improve upon the existing commodity diffusion models by incorporating stochastic volatility and seasonality through the affine diffusion framework. In particular, it evaluates affine...