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In this paper we consider the optimal impulse control of a system which evolves randomly in accordance with a homogeneous diffusion process in R 1 . Whenever the system is controlled a cost is incurred which has a fixed component and a component which increases with the magnitude of the control applied. In addition to these controlling costs there are(More)
We consider a general stochastic volatility model driven by continuous Brownian semimartingales and we define a non-parametric estimator of the stochastic leverage process defined by means of the covariance between the price and the volatility process. Our estimation procedure is based only on a pre-estimation of the Fourier coefficients of the volatility(More)
In this work, we analyse the Galerkin Infinite Element method for option pricing. The Infinite Element method is a very simple and efficient modification of the more common Finite Element method. It keeps the best features of Finite Elements, i.e. bandedness, easiness of programming, accuracy, and it is particularly useful when solving problems in unbounded(More)
Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure(More)
The aim of this work is twofold. First we focus on the complex phenomenon of electrogram fractionation, due to the presence of discontinuities in the conduction properties of the cardiac tissue in a bidomain model. Numerical simulations of paced activation may help to understand the role of the membrane ionic currents and of the changes in cellular coupling(More)
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