This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asset
processes with Poisson jumps. We show that this extension yields important model …

The paper considers extensions of the Libor market model to markets with volatility skews in
observable option prices. The family of forward rate processes is expanded to include …

This paper considers the pricing of discretely sampled Asian and lookback options with oating
and® xed strikes. In the modelling framework of Black and Scholes (1973), it is shown that …

The utilization of solar energy based technologies has attracted increased interest in recent
times in order to satisfy the various energy demands of our society. This paper presents a …

We present a generic methodology for organic Rankine cycle optimization, where the working
fluid is included as an optimization parameter, in order to maximize the net power output …

The chronic mild stress (CMS) protocol is widely used to evoke depressive-like behaviours in
laboratory rats. The aim of the present study was to examine the effects of chronic stress on …

This paper presents a comparison of the conventional dual pressure steam Rankine cycle
process and the organic Rankine cycle process for marine engine waste heat recovery. The …

In this paper, we show how a non-standard variant of the fully implicit finite difference method
can be applied to efficiently interpolate and extrapolate a discrete set of option quotes to an …

Dopamine D 3 antagonism combined with serotonin 5-HT 1A and 5-HT 2A receptor occupancy
may represent a novel paradigm for developing innovative antipsychotics. The unique …

Organic Rankine cycle power systems represent a viable and efficient solution for the
exploitation of medium-to-low temperature heat sources. Despite the large number of …