In: Mathematics and Financial Economics, 2014, vol. 8, no. 1, p. 29-69
|
In: Financial Markets and Portfolio Management, 2013, vol. 27, no. 1, p. 31-63
|
In: Grundwasser, 2009, vol. 14, no. 4, p. 255-263
|
In: Environmental and Resource Economics, 2011, vol. 49, no. 2, p. 199-215
|
In: Grundwasser, 2013, vol. 18, no. 3, p. 159-172
|
In: International Journal of Cultural Property, 1997, vol. 6, no. 2, p. 231-246
|
In: Annals of Actuarial Science, 2008, vol. 3, no. 1-2, p. 127-185
|
In: Applied mathematical finance, 2011, vol. 18, no. 4, p. 277-289
Over the years a number of two-factor interest rate models have been proposed that have formed the basis for the valuation of interest rate contingent claims. This valuation equation often takes the form of a partial differential equation, that is solved using the finite difference approach. In the case of two factor models this has resulted in solving two second order partial derivatives...
|
The CKLS (1992) short-term risk-free interest rate process leads to valuation model for both default free bonds and contingent claims that can only be solved numerically for the general case. Valuation equations of this nature in the past have been solved using the Crank Nicholson scheme. In this paper, we introduce a new numerical scheme – the Box method, and compare it with the traditional...
|
In Switzerland 60% of electricity is produced by hydropower plants. The construction and operation of these plants determine some negative environmental externalities, such as diminishing groundwater levels and spring flows, and a reduction in river flow, which can severely curtail recreational and fishing activities. This study concentrates on an ex-ante appraisal of the monetary benefits...
|