We study the two factor CIR model and using the main idea of two of our previous papers, we propose explicit numerical schemes that preserves positivity and converges strongly in the mean square sense to the true solution. Our results apply for the multi factor and the one factor cases as well.

Three processes re°ecting persistence of volatility are formulated by evaluating three L¶evy processes at a time change given by the integral of a square root process. A positive stock price process is then obtained by exponentiating and mean correcting these processes, or alternatively by stochastically exponentiating the processes. The characteristic functions for the log price can be used to...

Similar differences were also found to exist in the ribonuclease hydrolysis of the two subunits of bacterial ribosomes (Godson & Cox, 1970). The different response of the subunits to hydrolysis by ribonuclease may indicate differences in the structural organization of the subunits. The electrophoretic pattern of RNA obtained from ribonuclease-treated subunits is shown in Fig. 2. The results ind...

In formula (12) the factor Op (y, b) in the exponent should be replaced by l2 op (y , b), corresponding to absorption of the wave amplitude by a factor e -d/z% where d denotes the distance traversed through a medium in which the mean free path is h 3 l/Fp . This hss the effect of doubling the crosssection estimate in Eq. (14) to 66 mb <” Cr pN <” 94 mb. There a;e no other changes. We also wish ...

In this paper we generalize an explicit numerical scheme for the CIR process that we have proposed before. The advantage of this scheme is that preserves positivity as well and is well posed for a broader set of parameters than the existing schemes. The order of convergence is logarithmic.

Introduction A range of studies indicate that inference learners and classification learners rely on different knowledge when making post training judgments (e.g. Yamauchi & Markman, 1998). The differences have been argued to be due to inference learners focusing on prototypical features whereas classification learners focus on diagnostic features or exemplars (e.g. Markman & Ross, 2003). This ...

Category coherence refers to the extent to which a category is perceived to be a meaningful whole (Patalano & Ross, 2002; Ross & Patalano, 2002). We tested the hypothesis that category coherence influences the extent to which a category is used in the generation of category-based causal explanations of social behavior and preferences. In Experiments 1a and b, participants were told that members...

This paper considers the problem of evaluating barrier option prices when the dynamics of the underlying are driven by stochastic volatility following the square root process of Heston (1993). We develop a method of lines approach as it conveniently delivers not only the price, but also the delta and gamma of the option. The method is able to efficiently handle both continuously monitored and d...

Ana Hilário, Anna Metaxas*, Sylvie M. Gaudron, Kerry L. Howell, Annie Mercier, Nélia C. Mestre, Rebecca E. Ross, Andreas M. Thurnherr and Craig Young 1 Departamento de Biologia & Centre for Environmental and Marine Studies (CESAM), Universidade de Aveiro, Aveiro, Portugal 2 Department of Oceanography, Dalhousie University, Halifax, NS, Canada 3 UMR8187 Laboratoire d’Océanologie et de Géoscience...

Condition based maintenance (CBM) is an important maintenance strategy in practice. In this paper, we propose a CBM method to effectively incorporate system health observations into maintenance decision making to minimise the total maintenance cost and cost variability. In this method, the system degradation process is described by a Cox PH model and the proposed framework includes simulation o...