This paper tests whether the economic interpretation of risk contributions, as measure by marginal change in volatility, is true when accounting for fat tails in the asset return distributions (Qian, 2006). This is relevant to portfolio managers that have an expectation that risk and loss...

This paper sets forth a novel approach to calculate the levelized cost of electricity (LCOE) using a probabilistic model that accounts for endogenous input parameters. The approach is applied to the example of a nuclear and gas power project. Monte Carlo simulation results show that a...

This is a preliminary note for building and creating interactive models of the spread of the novel coronavirus. This note explains the basic idea of various epidemic models and show how to use some of built-in functions in Wolfram Mathematica to visualize solutions of these epidemic models

The recently developed rough Bergomi (rBergomi) model is a rough fractional stochastic volatility (RFSV) model which can generate more realistic term structure of at-the-money volatility skews compared with other RFSV models. However, its non-Markovianity brings mathematical and computational...

In the first section we recall Bak Sneppen model and its evolutions. In this paper we wish to present some simplified cases in which explicit computations via Markov chains are possible, hence reaching a better understanding of some rather hidden phenomena of the general case: in particular...

En este documento exponemos la estructura de base de un problema clásico de control optimal ilustrado a través de un ejemplo de matemáticas financieras. La modelación es realizada mediante la utilización de procesos estocásticos en tiempo continuo y la herramienta utilizada es el cálculo...

This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...

The study is focused on the geomorphological analysis of the Guatemala Trench, East Pacific Ocean. Research goal is to find geometric variations in western and eastern flanks of the trench and correlation of the submarine geomorphology with geologic settings and seismicity through numerical and...

This manuscript summarizes the results of the geospatial analysis undertaken by means of Generic Mapping Tools (GMT). The comparative assessment of the bathymetry of the Kuril-Kamchatka hadal trench was performed for southern and northern segments separated by the Bussol Strait. The formation of...

The study area is focused on the Philippine Trench, a hadal trench located in the axe of the collision of the Philippine Sea Plate and Sunda Plate, west Pacific Ocean. The research is aimed at the analysis of the trench geomorphology by a correlation between changes in slope steepness and...