In this article we will describe some of the main developments in interest-rate modelling since Black & Scholes’ (1973) and Merton’s (1973) original articles on the pricing of equity derivatives. In particular, we will focus on continuoustime, arbitrage-free models for the full term structure of interest rates. Other models which model a limited number of key interest rates or which operate in ...

This paper introduces interference channels, a new kind of covert channel that works by creating external interference on a shared communications medium (such as a wireless network). Unlike previous covert channels, here the covert sender does not need to compromise an authorized sender or require the ability to send messages on the network, but only needs the ability to jam traffic for short i...

during the last recent decades, restructuring in the electricity industry has been considered as an economical policy. consequently, it was able to increase private investment, competition, efficiency, and productivity. the purpose of restructuring electricity industry is to change electricity industry organization, in order to omit monopoly and increase competition. recognition of restructurin...

in recent decades, foreign direct investment (fdi) has played a vital role in economic growth of developed and developing countries. fdi brings new capital and technology to the host country beside a possibility of spillover to local firms. hence, fdi is considered as an important channel of technology transfer. however, in empirical studies, the size and direction of effects of fdi on producti...

design and expansion of distribution systems seems inevitable in view of the need to satisfy the rise in energy consumption in a technical and economical way. optimal location, sizing and determining the service area of substations is one of the principle problems in expansion of distribution systems. also uncertainty is one of the important factors that increase risk of exact decision makings....

Entanglement lies in the heart of almost all methods of quantum communication and computation. Efficient and economical generation of entangled states of light are of crucial importance for the success of future quantum communication applications. This article introduces the experimental methods to produce entangled light modes both in the discrete and continuous variable regime.

t Wilkie's stochastic investment model and its variants have been increasingly applied by actuaries around the world to actuarial modeling and simulation. This paper performs time series outlier analysis on retail price inflation, which is the driving force of Wilkie's composite model. The data come from four developed countries: the United Kingdom, the United States, Canada, and Australia. The...

In this lecture we study the problem of communication under channel uncertainty. The performance of the communication scheme, in addition to being governed by achieving the optimal rate, is characterized by a vanishing probability of decoding error. A universal decoder for a family of channels is a scheme which has no prior knowledge of the particular channel from this class over which transmis...

This paper, considering revenue and cost exposure channels, investigates the effects of exchange rate behaviour on fixed capital investment in Mexican manufacturing sector over 1994-2002. We find that i) currency depreciation has a positive (negative) effect on fixed investment through the export (import) channel; ii) exchange rate volatility impacts mostly export oriented sectors; iii) the sen...