Lecture notes for a short course on FX option valuation. Includes: - Mathematical framework for FX valuation - Handling the smile and term structure for vanilla options (calls and puts): --- Interpolation issues and techniques --- Handling business time --- Handling market conventions - Pricing...

The aim of this work is to offer for the first time an application in finance of a new tool that appears to have a great potential in terms of derivative pricing. Non Uniform Discrete Fourier Transforms are innovative, precious tools in the fields of Signals Theory and Images Reconstruction...

The paper aims to evaluate the presence and condition of vegetation by SAGA GIS. The study area covers northern coasts of Iceland including two fjords, the Eyjafjörður and the Skagafjörður, prosperous agricultural regions. The vegetation coverage in Iceland experience the impact of harsh...

Economic systems involve many heterogeneous agents and their complex interactions. These lead many studies, in recent years, to focus on the complex networks. Agent based modelling and simulation (ABMS) is a powerful tool for analyzing such systems. This model enables interacting agents to...

This special issue of the Journal of Economics and Statistics is devoted to the use of agent-based models for economic policy advice. It presents a collection of research papers in different fields of applications. Special emphasis is laid on discussing the potential and possible limitations of...

In some circumstances a decision maker, expert, in a group decision making problem cannot express his/her preferences with a unique linguistic fuzzy preference because he/she is dubious into some preferences. In this paper, we present a consensus model for group decision making problems with...

In this paper, we examine an agent-based model and an equation-based model in the form of a mean field model. We show how the mean field model is a small, fast model that identifies the high level properties of a subject, in this case financial time series’ stylized facts. The agent based...

Agent-based computational economics (ACE) has been attracting attention in recent years. This method, however, is challenging because of the complexity of the model’s structure due to the coexistence of systems for decision-making and those involved in financial transactions. Further, ACE...

We present a new fast calibration technique where we propose to train neural networks to directly perform the orthogonal projection of simulated payoffs of the calibration instrument with randomized model parameters and we enrich the learning task by including path-wise sensitivities of the...

We present an alternative derivation of the transition density in the Cox-Ingersoll-Ross (CIR) model. Applying methods developed in elementary quantum mechanics we show that the transition density can be determined from the eigenvalue problem of a second order differential operator with...