This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets...

In this note, I will look at history of Lasso estimation, which is the benchmark high dimensional estimation technique. I want to also give a perspective where Lasso may be evolving.

The complexity of the world oil market has increased dramatically in recent years and new approaches are needed to understand, model, and forecast oil prices today. Many models have been explored and most of the papers and modeling projects referenced in this paper identify their own...

This paper presents a mathematical model to evaluate the risks of arbitration in contractual disputes to decide whether or not to raise an arbitration case for a claim. It adds the ingredient of a regret theory approach for taking that decision, if an amicable settlement amount is not agreed....

Aggregate shocks in demand such as the burst of the 2001 dot-com bubble affect firms' behavior and, therefore, the market structure. This paper proposes a fully dynamic oligopoly model to evaluate the impact of aggregate demand shocks on entry and exit costs as well as on investment and labor...

The technologically intensive nature of the predictive maintenance (PdM) method restricts its use to companies with higher turnover. This research is aimed to propose a PdM model for an N-component repairable system by integrating non-homogeneous Poisson process (NHPP) models and a system...

Every machine degrades with time and requires maintenance. Among all types of maintenance policies, predictive maintenance is established as the best form of maintenance policy as numerous benefits are associated with it. Despite all the benefits, it finds restrictive usage in manufacturing...

This paper proposes a predictive maintenance policy using modified failure mode effect and criticality analysis (Mod-FMECA) technique. FMECA is used to identify failure modes, reasons, effects and criticality of the system (machine/plant) but in Mod-FMECA in addition to the analysis carried for...

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...