We introduce a data driven and model free approach for computing conditional expectations. The new method combines Gaussian Mean Mixture models with classic analytic techniques based on the properties of the Gaussian distribution. We also incorporate a proxy hedge that leads to analytic...

This paper presents the GRASS GIS-based thematic mapping of Antarctica using scripting approach and associated datasets on topography and geophysics. The state-of-the art in cartographic development points at two important aspects. The first one comprises shell scripting promoted repeatability...

Vegetation of Cameroon includes a variety of landscape types with high biodiversity. Ecological monitoring of Yaoundé requires visualization of vegetation types in context of climate change. Vegetation Indices (VIs) derived from Sentinel-2 multispectral satellite image were analyzed in SAGA GIS...

The drift or the mean-reversion level of short-rate models under jump-diffusion is derived to fit the initial term-structure of zero-coupon bond. In particular, the drift is obtained for Hull-White and Cox-Ingersoll-Ross short-rate models. The purpose of obtaining the drift is for the...

Recently Beltrán-Royo, Vial & Alonso-Ayuso (2012) presented a semi-Lagrangean relaxation for the classical p-median location problem and for the incapacitated facility location problem. The results, obtained using the semi-Lagrangean relaxation approach, were quite impressive. In this paper we...

This study attempts to discover and analyze the predictive power of stock messages, posting on financial message boards, on future stock price directional movements. We construct a set of robust models based on sentiment analysis and data mining algorithms. Our dataset consist of 447,393...

Minimum market transparency requirements impose hedge fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually origin a multiplicity of implemented management decisions. Is then the quot;actual quot;strategy the same as the...

General deviation measures, which include standard deviation as a special case but need not be symmetric with respect to ups and downs, are defined and shown to correspond to risk measures in the sense of Artzner, Delbaen, Eber and Heath when those are applied to the difference between a random...

The time value of money (TVM) equation is a key equation in finance. It takes the form of an nth order polynomial having n roots. In finance it is normal to calculate and use only one root (interest rate). The remaining (n-1) roots are mostly complex or negative and they are usually discarded....

The purpose of this paper is threefolds: to make a review of the ground techniques in stochastic calculus, that allow to perform a complete study of local volatility models, to make a deep survey of this class of models with their interpretation strengths and weakness, and to address the...