Risk

The Garch linear SDE: explicit formulas and the pricing of a quanto CDS

Minqiang Li, Fabio Mercurio and Serge Resnick derive an efficient closed-form approximation for the moment-generating function of the integral of a mean-reverting stochastic process, which follows a ...
JSTOR Daily

A NEW EXPLICIT FORMULA FOR THE FUNDAMENTAL CLASS OF FUNCTIONS

This is a preview. Log in through your library . Abstract Explicit formula for the fundamental class of functions (z, Z̃, Φ) introduced by J. Jorgenson and S. Lang, is given a new form valid for a ...
JSTOR Daily

Some explicit formulas for partial sums of Möbius functions

Le but de cet article est de donner quelques formules explicites faisant intervenir des fonctions de Möbius. De telles formules explicites peuvent être prouvées sous l’hypothèse de Riemann généralisée ...
IEEE

Explicit bounds on the exponential decay and on the L/sub 2/ gain for linear time-varying systems

Abstract: It is well known since many years ago that for the linear time-varying system e = Ae + B (t)/spl theta/, /spl theta/ = -B(t)/sup T/e with A Hurwitz, and B(t) bounded and globally Lipschitz, ...
IEEE

Lattice piecewise affine approximation of explicit linear model predictive control

Abstract: In this paper, the lattice piecewise affine (PWA) approximation of explicit linear model predictive control (MPC) is proposed. The training data consists of the state samples and ...