On similarity solutions for boundary layer flows with prescribed heat flux

This paper is concerned with existence, uniqueness and behavior of the solutions of the autonomous third order nonlinear differential equation $f'''+(m+2)ff''-(2m+1)f'^2=0$ on $\mathbb{R}^+$ with the boundary conditions $f(0)=-\gamma$, $f'(\infty)=0$ and $f''(0)=-1$. This problem arises when looking for similarity solutions for boundary layer flows with prescribed heat flux. To study solutions we use some direct approach as well as blowing-up coordinates to obtain a plane dynamical system.Comment: v2: new page-settin

An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process

We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process. Employing the non-arbitrage principle we obtain closed form formula for the pricing of the option. Various hedging parameters are also computed.catastrophe options, Cox process, pricing