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Stochastic renewal process models for estimation of damage cost over the life-cycle of a structure

Journal article (2017) - Mahesh D. Pandey, J.A.M. van der Weide

In the life-cycle cost analysis of a structure, the total cost of damage caused by external hazards like earthquakes, wind storms and flood is an important but highly uncertain component. In the literature, the expected damage cost is typically analyzed under the assumption of ...

Higher moments and probability distribution of maintenance cost in the delay time model

Journal article (2016) - Mahesh D. Pandey, Tianjin Cheng, J.A.M. van der Weide

The delay time model is a practical way to model random occurrences of failures and the effect of inspection and maintenance actions on the reliability of a repairable system. The delay time model involves two random variables describing the time of initiation of defects and time ...

American basket and spread option pricing by a simple binomial tree

Journal article (2012) - SA Borovkova, FJ Permana, J.A.M. van der Weide

Price discovery in a dynamic structural model

Book chapter (2012) - L. Wu, J.A.M. van der Weide

Efficient Pricing of Asian Options under L´evy Processes based on Fourier Cosine Expansions Part II Early¿Exercise Features and GPU Implementation

Report (2012) - B. Zhang, J.A.M. van der Weide, C.W. Oosterlee

Hans van der Weide

Authored

Stochastic renewal process models for estimation of damage cost over the life-cycle of a structure

Higher moments and probability distribution of maintenance cost in the delay time model

American basket and spread option pricing by a simple binomial tree

Price discovery in a dynamic structural model

Efficient Pricing of Asian Options under L´evy Processes based on Fourier Cosine Expansions Part II Early¿Exercise Features and GPU Implementation

Stochastic analysis of shock process and modeling of conditon-based maintenance

The performance of sampling inspections for localized deterioration process

Discounted cost model for conditon-based maintenance optimization

Note on superposition of renewal processes

A discussion about historical developments in stochastic modeling of wear

Applications to continuous-time processes of computational techniques for discrete-time renewal processes

Binomial method for indonesian option pricing

A comparison of model and non-model based time-frequency transforms for sperm whale click classification

A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options

A conceptual interpretation of the renewal theorem with applications

Integrated renewal process

Parisian options - the implied barrier concept

Interaction between mathematics and finance

Note of renewal reward processes

A method for computing total downtime distributions in repairable systems