In this paper we derive power futures prices from a two-factor spot model being a generalization of the classical Schwartz–Smith commodity dynamics. We include non-Gaussian effects by introducing Lévy processes as the ...

Published by Palgrave Macmillan. Reproduced with permission of Palgrave Macmillan. This extract is taken from the author's original manuscript and has not been edited. The definitive, published, version of record is available ...

Numerical simulations using non-linear finite element analysis have been perform to study ship grounding. The results are compared with experimental tests which was performed in USA in 1995 and good agreement is achieved. ...

We present an overview of the continuous and discontinuous Galerkin finite element methods (CG-FEM, DG-FEM) for numerical solution of the transport equation and show how the Navier-Stokes equations can be solved with CG-FEM ...

For a commodity spot price dynamics given by an Ornstein–Uhlenbeck process with Barndorff-Nielsen–Shephard stochastic volatility, we price forward contracts using a new class of pricing measures, extending the classical ...

Electricity infrastructure has become a critical element of modern industrial society. In order to model and analyse this infrastructure, identify weaknesses, and optimize performance, one needs to take into account its ...

We introduce Bichromatic Synthetic Schlieren (BiCSS) for instantaneous surface measurements, in where we use two simultaneous images taken at blue and near infrared wavelengths, making use of that refractive index variation ...

We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.