A basket default swap (BDS) is a credit derivative with contingent payments that are triggered by a combination of default events of the reference entities. A forward-starting basket default swap (FBDS) is a BDS starting at a specified future time. Existing analytic or semi-analytic methods for...

In this paper, we consider the following inverse problem for the first hitting time distribution: given a Wiener process with a random initial state, probability distribution, F(t), and a linear boundary, b(t)=[mu]t, find a distribution of the initial state such that the distribution of the...

Online social networking systems are a phenomenon that has grown exponentially over the past few years. These systems provide platforms for people to easily share information, especially about themselves and about their interests. With the recent emergence of geolocation technologies, social...

With the emergence of the Internet as a global structure for communication and interaction,many “business to consumer” and “business to business” applications have migrated online,thus increasing the need for software agents that can act on behalf of people, institutions orcompanies with...

This thesis develops a generic framework based on the Fourier transform for pricing and hedging of various options in equity, commodity, currency, and insurance markets. The pricing problem can be reduced to solving a partial integro-differential equation (PIDE). The Fourier Space Time-stepping...

One desirable property of machine learning algorithms is the ability to balance the number of parameters in a model in accordance with the amount of available data.Incorporating nonparametric Bayesian priors into models is one approach of automatically adjusting model capacity to the amount of...