Stochastic differential equations (3rd ed.): an introduction with applications
Stochastic differential equations (3rd ed.): an introduction with applications
Computer as Thinker/Doer: Problem-Solving Environments for Computational Science
IEEE Computational Science & Engineering
Modern software techniques in computational finance
Modern software tools for scientific computing
Synthesis of Mathematical-Modeling Software
IEEE Software
Framework for Workflow Parallel Execution in Grid Environment
ICCS '07 Proceedings of the 7th international conference on Computational Science, Part III: ICCS 2007
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We present the design and initial implementation of a problem-solving environment that values industrial investment projects. We use the contingent claim, or real option, valuation method, which views a project as a claim to future cash flows which are dependent on underlying stochastic factors, such as the market price of a produced commodity. The problem-solving environment enables the user to use domain and mathematical level constructs to specify the nature of the project and the stochastic behaviour of underlying factors. Meaning preserving symbolic rewrite rules transform these specifications into problem representations that are suitable for numerical solution. The transformed problem representations are then combined with components implementing parallel algorithms in order to compute solutions. The aim of this approach is to benefit strategic industrial decision-making by enabling high-level and flexible problem formulation and by using high performance computational resources.