Alexander Eydeland

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In this paper, we apply Carr’s randomization approximation and the operator form of theWiener-Hopf method to double barrier options in continuous time. Each step in the resulting backward induction algorithm is solved using a simple iterative procedure that reduces the problem of pricing options with two barriers to pricing a sequence of certain perpetual(More)
The <italic>Constrained Matrix</italic> problem is a core problem in numerous applications in the social and economic sciences, including: the estimation of input-output tables, trade tables, and social/national accounts, the projection of migration flows over space and time, the treatment of census data, the analysis of political voting patterns, and the(More)
In this section we pose the variational problem whose solutions represent axisymmetric equilibrium configurations of a plasma confined in a tokomak or some other toroidal device. The geometry of the configurations we consider is depicted schematically in Figure 1. In the usual cylindrical coordinates the toroidal region D = {x = (r, φ, z) ∈ 3 : (r, z) ∈ Ω,(More)
Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock-out and knock-in provisions and introduce a family of path-dependent options: step options. They are parametrized by a finite knock-out (knock-in) rate, ρ. For a down-and-out step option, its payoff at expiration is defined as the payoff of(More)
Steady Euler flows in a periodic square that, for positive vorticity distributions, minimise the entrophy at given values of the energy and the circulations are non-confined vortices for optimal values of the circulation, and are confined vortices for certoin non-optimal values. An extension of the self-organisation principle for the ZD Navier-Stokes(More)
In this paper we introduce a general parallelizable computational method for solving a wide spectrum of constrained matrix problems. The constrained matrix problem is a core problem in numerous applications in economics. These include the estimation of input/output tables, trade tables, and social/national accounts, and the projection of migration flows(More)