Journal of computational and applied mathematics

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  Año 2014, Vol. 259, Número 2

  • Efficient simulation of a multi-factor stochastic volatility model

    Ahmet Göncü, Giray Ökten

    • Resumen

    págs. 329-335

    

  • Infinite horizon optimal control of forward-backward stochastic differential equations with delay

    Nacira Agram, Bernt Oksendal

    • Resumen

    págs. 336-349

    

  • A unified approach to pricing and risk management of equity and credit risk

    Claudio Fontana, Juan Miguel A. Montes

    • Resumen

    págs. 350-361

    

  • Pricing formulae for constant proportion debt obligation notes: The Laplace transform technique

    Aysegül Iscanoglu Çekiç, Ömür Uğur

    • Resumen

    págs. 362-370

    

  • Stochastic maximum principle for nonlinear optimal control problem of switching systems

    Qurban Abushov, Charkaz Aghayeva

    • Resumen

    págs. 371-376

    

  • Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data

    A. Inkaya, Y. Yolcu Okur

    • Resumen

    págs. 377-384

    

  • Delta hedging in discrete time under stochastic interest rate

    Flavio Angelini, Stefano Herzel

    • Resumen

    págs. 385-393

    

  • Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity

    Mustafa Ç. Pinar, A. Burak Paç

    • Resumen

    págs. 394-405

    

  • On the single name CDS price under structural modeling

    I. H. Gökgöz, Ömür Uğur, Y. Yolcu Okur

    • Resumen

    págs. 406-412

    

  • Risk analysis based on spatial analysis of chronic obstructive pulmonary disease (COPD) with respect to provinces in Turkey

    Sezgin Çiftçi, ªebnem Düzgün, B. Burçak Baþbuð Erkan

    • Resumen

    págs. 413-424

    

  • Analysis of portfolio diversification between REIT assets

    Patrick Rees, A. Sevtap Selcuk-Kestel

    • Resumen

    págs. 425-433

    

  • Stochastic multifactor modeling of spot electricity prices

    Azize Hayfavi, Irem Talasli

    • Resumen

    págs. 434-442

    

  • Optimal control of stochastic hybrid system with jumps: A numerical approximation

    Büsra Zeynep Temoçin, Gerhard-Wilhelm Weber

    • Resumen

    págs. 443-451

    

  • Pricing and hedging of inflation-indexed bonds in an affine framework

    Zehra Eksi, Damir Filipovic

    • Resumen

    págs. 452-463

    

  • Stochastic interest rate volatility modeling with a continuous-time GARCH(1, 1) model

    Selçuk Bayraci, Gazanfer Ünal

    • Resumen

    págs. 464-473

    

  • Supersingular curves over finite fields and weight divisibility of codes

    Cem Güneri, Gary McGuire

    • Resumen

    págs. 474-484

    

  • On the algebraic construction of cryptographically good 32×32 binary linear transformations

    Muharrem Tolga Sakalli, Bora Aslan

    • Resumen

    págs. 485-494

    

  • Sharing DSS by the Chinese Remainder Theorem

    Kamer Kaya, Ali Aydin Selçuk

    • Resumen

    págs. 495-502

    

  • Improbable differential attacks on Present using undisturbed bits

    Cihangir Tezcan

    • Resumen

    págs. 503-511

    

  • On the security of RFID anti-counting security protocol (ACSP)

    Masoumeh Safkhani, Nasour Bagheri, Ali Mahani

    • Resumen

    págs. 512-521

    

  • Counting Boolean functions with specified values in their Walsh spectrum

    Erdener Uyan, Çagdas Çalik, Ali Doðanaksoy

    págs. 522-528

    

  • IND-CCA secure encryption based on a Zheng-Seberry scheme

    Murat Ak, Turgut Hanoymak, Ali Aydin Selçuk

    • Resumen

    págs. 529-535

    

  • Permutations of finite fields with prescribed properties

    Ayça Çesmelioglu, Wilfried Meidl, Alev Topuzoglu

    • Resumen

    págs. 536-545

    

  • On the arithmetic operations over finite fields of characteristic three with low complexity

    S. Akleylek, Ferruh Özbudak, C. Özel

    • Resumen

    págs. 546-554

    

  • Linear complexity of quaternary sequences of length with low autocorrelation

    V. Edemskiy, A. Ivanov

    • Resumen

    págs. 555-560

    

  • Differential entropy analysis of the IDEA block cipher

    Alex Biryukov, Jorge Nakahara Jr., Hamdi Murat Yildirim

    • Resumen

    págs. 561-570

    

  • Cryptanalysis of the Cho et al. protocol: A hash-based RFID tag mutual authentication protocol

    Masoumeh Safkhani, Pedro Peris López, Julio César Hernández Castro, Nasour Bagheri

    • Resumen

    págs. 571-577

    

  • Message transmission for GH-public key cryptosystem

    Muhammad Ashraf, Baris Bülent Kirlar

    • Resumen

    págs. 578-585

    

  • Anonymous trace and revoke

    Murat Ak, Serdar Pehlivanoglu, Ali Aydin Selçuk

    • Resumen

    págs. 586-591

    

  • Large-scale high-resolution computational validation of novel complexity models in linear cryptanalysis

    Andrey Bogdanov, Elif Bilge Kavun, Elmar Tischhauser, Tolga Yalçin

    • Resumen

    págs. 592-598