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Full-Text Articles in Physical Sciences and Mathematics
Macroscopic Consequences Of Calcium Signaling In Microdomains: A First-Passage-Time Approach, Robert Rovetti
Macroscopic Consequences Of Calcium Signaling In Microdomains: A First-Passage-Time Approach, Robert Rovetti
Mathematics Faculty Works
Calcium (Ca) plays an important role in regulating various cellular processes. In a variety of cell types, Ca signaling occurs within microdomains where channels deliver localized pulses of Ca activating a nearby collection of Ca-sensitive receptors. The small number of channels involved ensures that the signaling process is stochastic. The aggregate response of several thousand of these microdomains yields a whole-cell response which dictates the cell behavior. Here, we study the statistical properties of a population of these microdomains in response to a trigger signal. We use a first-passage-time approach to show analytically how Ca release in the whole cell …
Stochastic Modeling Of Retail Mortgage Loans Based On Past Due, Prepaid, And Default States, Chang Liu
Stochastic Modeling Of Retail Mortgage Loans Based On Past Due, Prepaid, And Default States, Chang Liu
Doctoral Dissertations
Stochastic models were developed that provide important measures related to retail mortgages and credit cards for the management of a bank. Based on Markov theory, two models were developed that predict mortgage portfolio size and expected duration of stay in each of the states, which are defined according to the criteria of Basel Accord II and the Federal Reserve Bank. Also, to facilitate comparisons among different types of credit products and different time periods, a model was developed to generate a health index for a retail mortgage. This model could be easily extended, using multivariate regression or multivariate time series …
Black-Scholes And Extended Black-Scholes Models: A Comparative Statistical Analysis, Bradley Thomas Bush
Black-Scholes And Extended Black-Scholes Models: A Comparative Statistical Analysis, Bradley Thomas Bush
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Much research has been done on options pricing. Black and Scholes [12] set the benchmark in 1973 with their model for arbitrage-free, risk-neutral options valuation. Arbitrage-free refers to a market environment where prices are such that trading opportunities with no risk do not exist and risk-neutral commodities earn a risk free interest rate. Since then the literature has seen a multitude of models improving the fit of the traditional Black -Scholes (BS) model. A brief overview of options and these models is given. A derivation and discussion of BS is followed by a derivation and discussion of the Extended Black-Scholes …