Multigrid for American option pricing with stochastic volatility

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.

[BSHM meetings] Topics in the history of financial mathematics: early commerce to chaos in modern stock markets

This account provides an overview of the study day, entitled 'Topics in the History of Financial Mathematics: Early commerce to chaos in modern stock markets,' held by the British Society for the History of Mathematics jointly with Gresham College, at Gresham College, London on 25th April 2008. The series of talks explored the development of mathematics and mathematical techniques in a commercial and financial context.

Industrial water pollution in Dhaka, Bangladesh: strategies and incentives for pollution control in small and medium enterprises

The extent and gravity of the environmental degradation of the water resources in Dhaka due to untreated industrial waste is not fully recognised in international discourse. Pollution levels affect vast numbers, but the poor and the vulnerable are the worst affected. For example, rice productivity, the mainstay of poor farmers, in the Dhaka watershed has declined by 40% over a period of ten years. The study found significant correlations between water pollution and diseases such as jaundice, diarrhoea and skin problems. It was reported that the cost of treatment of one episode of skin disease could be as high as 29% of the weekly earnings of some of the poorest households. The dominant approach to deal with pollution in the SMEs is technocratic. Given the magnitude of the problem this paper argues that to control industrial pollution by SMEs and to enhance their compliance it is necessary to move from the technocratic approach to one which can also address the wider institutional and attitudinal issues. Underlying this shift is the need to adopt the appropriate methodology. The multi-stakeholder analysis enables an understanding of the actors, their influence, their capacity to participate in, or oppose change, and the existing and embedded incentive structures which allow them to pursue interests which are generally detrimental to environmental good. This enabled core and supporting strategies to be developed around three types of actors in industrial pollution, i.e., (i) principal actors, who directly contribute to industrial pollution; (ii) stakeholders who exacerbate the situation; and (iii) potential actors in mitigation. Within a carrot-and-stick framework, the strategies aim to improve environmental governance and transparency, set up a packet to incentive for industry and increase public awareness.