This paper extends the modified affine arithmetic in matrix form method for bivariate polynomial evaluation and algebraic curve plotting in 2D to modified affine arithmetic in tensor form for trivariate polynomial evaluation and algebraic surface plotting in 3D. Experimental comparison shows that modified affine arithmetic in tensor form is not only more accurate but also much faster than stand...

Abstract In recent years a number of authors pointed out significant stability and convergence problems while using Cox-Ross-Rubinstein binomial method to price and hedge barrier options. Different modifications were suggested to improve the convergence and stability of the binomial method. However, as this article shows, lattice approach in general has limited stability factor when applied to ...

This paper questions one of the fundamental assumptions made in options pricing: that the daily returns of a stock are independent and identically distributed (IID). We apply an estimation procedure to years of daily return data for all stocks in the French CAC-40 index. We find six stocks whose log returns are best modeled by a first-orderMarkov chain, not an IID sequence. We further propose t...

We construct a constrained trivariate extension of the univariate normalized B-basis of the vector space of trigonometric polynomials of arbitrary (finite) order n ∈ N defined on any compact interval [0, α], where α ∈ (0, π). Our triangular extension is a normalized linearly independent constrained trivariate trigonometric function system of dimension δn = 3n (n+ 1) + 1 that spans the same vect...

In this paper, we present a quantum version of some portions of Mathematical Finance, including theory of arbitrage, asset pricing, and optional decomposition in financial markets based on finite dimensional quantum probability spaces. As examples, the quantum model of binomial markets is studied. We show that this quantum model ceases to pose the paradox which appears in the classical model of...

A Corporation is a company that owns other companies outstanding stock. In business matters, a Corporation is a defaul company if, at least, one of its subsidiary is on default. The statistical interest is, in a specific period of time, to determine the Default probability for the Corporation given that the subsidiaries of this Corporation are correlated. Therefore, the model must address the i...

Given a collection of unorganised points in space, we present a new method of constructing a surface which approximates this point cloud. The surface is defined implicitly as the isosurface of a trivariate volume model. The volume model is piecewise linear and obtained as a least squares fit to data derived from the point cloud. The original point cloud input is assigned a zero value. Additiona...

We evaluate the information geometric complexity of entropic motion on low-dimensional Gaussian statistical manifolds in order to quantify how difficult it is to make macroscopic predictions about systems in the presence of limited information. Specifically, we observe that the complexity of such entropic inferences not only depends on the amount of available pieces of information but also on t...