College of Arts and Sciences (CAS)
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Bioluminescence Imaging Applications in Cancer: A Comprehensive Review
(IEEE, 2020)Bioluminescence imaging (BLI), an optical preclinical imaging modality, is an invaluable imaging modality due to its low-cost, high throughput, fast acquisition times, and functional imaging capabilities. BLI is being ... -
Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries
(Elsevier, 2011)This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright’s (2000) ... -
Martingale problem for superprocesses with non-classical branching functional
(Elsevier, 2006)The martingale problem for superprocesses with parameters (𝛏, Ф, 𝑘) is studied where 𝑘(𝒹𝑠) may not be absolutely continuous with respect to the Lebesgue measure. This requires a generalization of the concept of ... -
Exercisability Randomization of the American Option
(Taylor & Frances Online, 2008)The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization of the exercisability of the option. This method considerably ... -
Convergence rate of the binomial tree scheme for continuously paying options
(Université du Québec à Montréal, 2012)Continuously Paying Options (CPOs) form a very natural class of derivatives for hedging risks coming from adverse movements of a continuously traded asset. We study the rate of convergence of CPOs evaluated under the ... -
A European option general first-order error formula
(Cambridge, 2013)We study the value of European security derivatives in the Black-Scholes model, when the underlying asset 𝛏 is approximated by random walks 𝛏(𝑛). We obtain an explicit error formula, up to a term of order 𝒪(𝑛⁻³/² ), ... -
Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?
(Springer, 2015)Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to ... -
Option convergence rate with geometric random walks approximations
(Taylor & Frances Online, 2016)We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the Black–Scholes model converges to zero at a speed of 1/𝑛 for continuous ... -
A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices
(Taylor & Francis Online, 2015)This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, ... -
A robust method to retrieve option implied risk neutral densities for defaultable assets
(Inderscience Publishers, 2016)Risk neutral densities recovered from option prices can be used to infer market participants' expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is a broad literature ... -
Path Independence of Exotic Options and Convergence of Binomial Approximations
(Infopro Digital Risk (IP), 2019)The analysis of the convergence of tree methods for pricing barrier and lookback options has been the subject of numerous publications aiming at describing, quantifying, and improving the slow and oscillatory convergence ... -
Convergence rate of regime-switching trees
(Elseveir, 2016)Considering a general class of regime-switching geometric random walks and a broad class of piecewise twice differentiable payoff functions, we show that convergence of option prices occurs at a speed of order 𝒪 (𝑛-ᵝ), ... -
Outcomes and Key Factors of Success for ISO 14001 Certification: Evidence from an Emerging Arab Gulf Country
(MDPI, 2019)The objectives of this research were: (1) To examine the outcomes and key factors of success (KFS) related to ISO 14001 certification, (2) to compare and contrast these in private organizations (PRIVOs) and public organizations ... -
Refinancing the Rentier State: Welfare, Inequality, and Citizen Preferences toward Fiscal Reform in the Gulf Oil Monarchies
(City University of New York, 2019)Middle East oil producers are today pursuing profound transformations of their rentier economies, including through new taxes and reductions in state spending and welfare subsidies that have supported citizens for generations. ... -
Mechanical and phytochemical protection mechanisms of Calligonum comosum in arid deserts
(Public Library of Science, 2018)Unlike animals, plants are sessile organisms, lacking circulating antibodies and specialized immune cells and are exposed to various harsh environmental conditions that make them at risk of being attacked by different ... -
Mechanical perturbation control of cardiac alternans
(American Physical Society, 2018)Cardiac alternans is a disturbance in heart rhythm that is linked to the onset of lethal cardiac arrhythmias. Mechanical perturbation control has been recently used to suppress alternans in cardiac tissue of relevant size. ... -
Control of cardiac alternans by mechanical and electrical feedback
(American Physical Society, 2014)A persistent alternation in the cardiac action potential duration has been linked to the onset of ventricular arrhythmia, which may lead to sudden cardiac death. A coupling between these cardiac alternans and the intracellular ... -
Application of Quasi-Phase Matching Concept for Enhancement of High-Order Harmonics of Ultrashort Laser Pulses in Plasmas
(MDPI, 2019)Novel methods of coherent short-wavelength sources generation require thorough analysis for their further amendments and practical implementations. In this work, we report on the quasi-phase matching (QPM) of high-order ... -
Gut bacteria of Cuora amboinensis (turtle) produce broad-spectrum antibacterial molecules
(Nature Research, 2019)Antimicrobial resistance is a major threat to human health, hence there is an urgent need to discover antibacterial molecule(s). Previously, we hypothesized that microbial gut flora of animals are a potential source of ... -
Seasonal Variability of Retroflection Structures and Transports in the Atlantic Ocean as Inferred from Satellite-Derived Salinity Maps
(MDPI, 2019)Three of the world’s most energetic regions are in the tropical and South Atlantic: the North Brazil Current Retroflection, the Brazil-Malvinas Confluence, and the Agulhas Current Retroflection. All three regions display ...
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