The problem of pricing European options based on multiple assets with transaction costs is considered. These options include, for example, quality options and options on the minimum of two or more risky assets. The value of these options is the solution of a nonlinear parabolic partial...

This article presents the results obtained from the analysis of the I–V electrical characteristics of photovoltaic arrays that were tested in a region of the Sahara. Experiments were carried out at Adrar in the southern part of Algeria. The study includes the determination of the most...

The paper presents a simple but efficient new numerical scheme for the integration of nonlinear constitutive equations. Although it can be used for the integration of a system of algebraic and differential equations in general, the scheme is primarily developed for use with the direct solution...

In this paper I present a simple model of government spending where the level of government debt affects the output gap. The structure of the economy is specified such that the output gap has a structural part, which is a function of debt. Based on empirical research, the structural part is...

This paper presents a numerical study for the peristaltic flow characteristics of a Sisko fluid in a symmetric or asymmetric channel. The fluid is assumed to be electrically conducting in the presence of a uniform magnetic field. The mathematical formulation consisting of nonlinear governing...

This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then,...

This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion process. We price options according to the principle of utility indifference. Our main contribution is an efficient multi-nomial tree method for computing the utility indifference prices for both...

The paper presents a new method to solve DSGE models with a great number of heterogeneous agents. Using tools from systems and control theory, it is shown how to reduce the dimension of the state and the policy vector so that the reduced model approximates the original model with high precision....

The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In...

This paper develops a method to compute second-order perturbations of discretetime heterogeneous agent models. It addresses the three main tasks to make secondorder approximations tractable: state reduction, generating sufficient smoothness, and fast computation of the quadratic terms in the...