The Quanto option is a cash-settled, cross-currency derivative in which the underlying asset has a payoff in one country, but the payoff is converted to another currency in which the option is settled. Thus, the correlation between the underlying asset and currency exchange rate plays an important role on pricing such options. Market observations give clear… (More)
In this work we present a result on the non-existence of monotone, consistent linear discrete approximation of order higher than 2. This is an essential ingredient, if we want to solve numerically nonlinear and particularly Hamilton-Jacobi-Bellman (HJB) equations.
BACKGROUND This study evaluated the wearable cardioverter-defibrillator (WCD) for use and effectiveness in preventing sudden death caused by ventricular tachyarrhythmia or fibrillation. METHODS From April 2010 through October 2013, 6043 German WCD patients (median age, 57 years; male, 78.5%) were recruited from 404 German centers. Deidentified German… (More)
We analyze a model of strategic network formation prior to a Manea (2011) bargaining game: ex-ante homogeneous players form costly undirected links, anticipating expected equilibrium payoffs from the subsequent network bargaining. Assuming patient players, we provide a complete characterization of generically pairwise stable networks: specific unions of… (More)
Increasing concerns about climate change have given rise to the formation of International Environmental Agreements (IEAs) as a possible solution to limit global pollution effects. In this paper, we study the stability of IEAs in a repeated game framework where we restrict to strategies which are simple and invariant to rene-gotiation. Our main contribution… (More)
Force-gradient decomposition methods are used to improve the energy preservation of symplectic schemes applied to Hamiltonian systems. If the potential is composed of different parts with strongly varying dynamics, this multirate potential can be exploited by coupling force-gradient decomposition methods with splitting techniques for multi-time scale… (More)
OBJECTIVE After the implantation of an implantable cardioverter-defibrillator (ICD), patients often fear therapeutic shock. The extent to which the experience of pre-hospital discharge (PHD) testing without anesthesia after ICD implantation, under observation by a physician, affects shock-related anxiety symptoms on follow-up has not been investigated as… (More)
The Cox-Ingersoll-Ross model (CIR model)  has been a benchmark in finance for many years because of its analytical and structural tractability. The wide applications and extensions of the CIR model requires to evaluate the cumulative distribution function (CDF) of the integrated CIR process in financial modelling. As in many situations the characteristic… (More)