Abstract.We present an elegant algorithm for stably and quickly generating the weights of Fejér's quadrature rules and of the Clenshaw-Curtis rule. The weights for an arbitrary number of nodes are obtained as the discrete Fourier transform of an explicitly defined vector of rational or algebraic numbers. Since these rules have the capability of forming nested families, some of them have gained renewed interest in connection with quadrature over multi-dimensional regions.

This paper derives a closed-form solutin for the price of the European and semi-Amirican callable bond for two popular one-factor models of the term structure of interest rates which have been proposed by Vasicek as well as Cox, Ingersoll, and Ross. the price is derived by means of repeated use of Green's function, which, in turn, is derived from a series solution of the partial differential equation to value a discount bond. the boundary conditions which lead to the well-known formulae for the price of a discount bond are also identified. the algorithm to implement the explicit solution relies on numerical quadrature involving Green's function. It offers both higher accuracy and higher speed of computation than finite difference methods, which suffer from numerical instabilites due to discontinuous boundary values. For suitably small time steps, the proposed algorithm can also be applied to American callable bonds or to any American-type option with Green's function being explicitly known. Copyright 1996 Blackwell Publishers.

Quaternions have been found to be the ideal tool for describing and developing the theory of spatial regularization in Celestial Mechanics. This article corroborates the above statement. Beginning with a summary of quaternion algebra, we will describe the regularization procedure and its consequences in an elegant way. Also, an alternative derivation of the theory of Kepler motion based on regularization will be given. Furthermore, we will consider the regularization of the spatial restricted three-body problem, i.e. the spatial generalization of the Birkhoff transformation. Finally, the perturbed Kepler motion will be described in terms of regularized variables.

No abstract

No abstract