186,318 research outputs found
On nonlinear Black-Scholes equations
No full textThis paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versions arising in option pricing theory
A general framework for some economic problems with uncertainty and exogenous barriers
No full textThis paper provides analytical solutions and regularity results for some second order PDEs of degenerate elliptic type. The motivation is to study several economic models with uncertainty where the variables are constrained by constant barriers
On some boundary-value problems for second order PDEs arising in Finance
No full textThis paper studies the Dirichlet problem for some second order PDEs with non-negative characteristic form. The classical solution method is presented in a general framework. The results are applied to the pricing problems for a financial option of barrier type
Traveling waves for several equations of mathematical physics-existence and profiles
No full textV. Camacho, R. Guy, and J. Jacobsen studied traveling waves and shocks in viscoelastic generalization of Burger's equations.The vave profiles are given by
using the numerical approach and by giving the corresponding computer
visualizations. In this paper we propose a purely mathematical
approach to the same problem and give a qualitative picture of the
behavior of these waves
Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
No full textThis paper studies some less known properties of the Black-Scholes equations and of its nonlinear modifications arising in Finance. In particular, the nonhypoellipticity of the linear Black-Scholes equation is shown; a comparison principle is formulated for a class of nonlinear degenerate parabolic equations which incorporates the most relevant financial applications; finally, some comments on the properties of the viscosity solutions are given.
DOI: 10.1016/J.nonrwa.2010.10.00
Boundary-value problems for second order partial differential equations arising in risk management and cellular neural networks approach
No full textA boundary value problem arising in risk management is studied in a multidimensional framework. Analytical solutions are obtained and numerical investigation of some real-world examples is performed throughout the CNN approach
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Appropriate Similarity Measures for Author Cocitation Analysis
No full textWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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