Publications
307 results found
atkinson C, 2011, developing a flow control system for a well, us 8025072 b2
To develop a flow control system for use in a well ............
Atkinson C, Osseiran A, 2011, DISCRETE-SPACE TIME-FRACTIONAL PROCESSES, Fract. Calc. Appl. Anal., Vol: Vol. 14, No 2 (2011), Pages: 201-232
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Atkinson C, banerjee R, Thambynayagam M, 2010, System and method for controlling an advancing fluid front of a reservoir - Patent number: 8700371, 8700371
Atkinson C, Isangulov R, 2010, A mathematical model of an oil and gas field development process, EUROPEAN JOURNAL OF APPLIED MATHEMATICS, Vol: 21, Pages: 205-227, ISSN: 0956-7925
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- Citations: 5
ATKINSON C, 2010, TRANSVERSELY ISOTROPIC MODEL FOR WELLBORE STABILITY ANALYSIS IN LAMINATED FORMATIONS, 7,676,353
Atkinson C, Osseiran A, 2010, Rational Solutions for the Time-Fractional Diffusion Equation, SIAM J. on Applied Mathematics, Vol: 71, Pages: 92-106
ATKINSON C, STOREY E, 2010, Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs, Applied Mathematical Finance, Vol: 17, Pages: 323-357
LABRE M, ATKINSON C, 2010, On the pricing of emission reduction purchase agreement contracts, The Journal of Energy Markets:, Vol: 3, Pages: 69-109
The vital importance of Emission Reduction Purchase Agreement (ERPA) contracts to the carbon market motivates the development of accurate valuation techniques. We propose a pricing methodology based on the formulation of a generic payout function, with an analysis of the underlying drivers (emissions reduction delivery and carbon prices) leading to their stochastic model representation. Although applicable to any emissions reduction markets and standards, the rationale is developed around ERPAs based on the delivery of Certified Emission Reduction (CER) certificates from Clean Development Mechanism (CDM) project activities. We apply the methodology to the pricing of ERPAs on run-ofriver hydropower CDM project activities in China.
Atkinson C, Ingpochai P, 2010, Optimization of N-risky asset portfolios with stochastic variance and transaction costs, QUANTITATIVE FINANCE, Vol: 10, Pages: 503-514, ISSN: 1469-7688
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- Citations: 1
Atkinson C, Monmont F, Zazovsky A, 2009, Flow Performance of Perforated Completions, TRANSPORT IN POROUS MEDIA, Vol: 80, Pages: 305-328, ISSN: 0169-3913
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- Citations: 2
Chen CY, Atkinson C, 2009, The Stress Analysis of Thin Contact Layers: a Viscoelastic Case, CMES-COMPUTER MODELING IN ENGINEERING & SCIENCES, Vol: 48, Pages: 219-240, ISSN: 1526-1492
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- Citations: 3
Atkinson C, 2009, A FREE BOUNDARY PROBLEM OF A REAL OPTION MODEL, SIAM JOURNAL ON APPLIED MATHEMATICS, Vol: 69, Pages: 1793-1804, ISSN: 0036-1399
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- Citations: 1
Atkinson C, Kazantzaki S, 2009, Double knock-out Asian barrier options which widen or contract as they approach maturity, QUANTITATIVE FINANCE, Vol: 9, Pages: 329-340, ISSN: 1469-7688
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- Citations: 3
Chen CY, Atkinson C, 2008, The stress analysis of thin contact layers: a singular perturbation method for integral equations, PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol: 464, Pages: 1439-1459, ISSN: 1364-5021
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- Citations: 2
Chen CY, Atkinson C, 2007, Transient pressure response in an anisotropic formation, ENGINEERING ANALYSIS WITH BOUNDARY ELEMENTS, Vol: 31, Pages: 595-603, ISSN: 0955-7997
Atkinson C, Huang S, 2007, Analysis of a flat annular-shaped diaphragm for use in a down-hole pressure transducer, MEASUREMENT SCIENCE AND TECHNOLOGY, Vol: 18, Pages: 1167-1174, ISSN: 0957-0233
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- Citations: 2
Atkinson C, 2007, The influence of concentration-dependent diffusivity on the growth kinetics of individual ledges during solid-solid phase transformations, ACTA MATERIALIA, Vol: 55, Pages: 2503-2508, ISSN: 1359-6454
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- Citations: 3
Atkinson C, de Lara MM, 2007, The frequency response of a rectangular cantilever plate vibrating in a viscous fluid, JOURNAL OF SOUND AND VIBRATION, Vol: 300, Pages: 352-367, ISSN: 0022-460X
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- Citations: 29
Atkinson C, Monmont FBJ, 2007, A semi-analytical model for predicting the flow into a wellbore completed by inflow control devices, INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE, Vol: 45, Pages: 350-363, ISSN: 0020-7225
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- Citations: 2
Atkinson C, Ingpochai P, 2007, The influence of correlation on multi-asset portfolio optimization with transaction costs, The journal of computational finance, Vol: Volume 10 / Number 2
Atkinson C, Fusai G, 2007, Discrete extrema of Brownian motion and pricing of exotic options, The journal of computational finance, Vol: Volume 10 / Number 3
Atkinson C, Pereira PJS, 2006, Orientational director effects in nematic liquid crystals with small Ericksen number, PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol: 462, Pages: 2737-2758, ISSN: 1364-5021
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- Citations: 1
Atkinson C, Alexandropoulos CA, 2006, Pricing a European Basket Option in the Presence of Proportional Transaction Costs, Applied Mathematical Finance, Vol: Volume 13
Atkinson C, Alexandropoulos CA, 2006, Pricing a European basket option in the presence of proportional transaction costs, Applied Mathematical Finance, Vol: 13, Pages: 191-214, ISSN: 1350-486X
A crucial assumption in the Black-Scholes theory of options pricing is the no transaction costs assumption. However, following such a strategy in the presence of transaction costs would lead to immediate ruin. This paper presents a stochastic control approach to the pricing and hedging of a European basket option, dependent on primitive assets whose prices are modelled as lognormal diffusions, in the presence of costs proportional to the size of the transaction. Under certain assumptions on the individual preferences, it is able to reduce the dimensionality of the resulting control problem. This facilitates considerably the study of the value function and the characterisation of the optimal trading policy. For solution of the problem a perturbation analysis scheme is utilized to derive a non-trivial, asymptotically optimal result. The findings reveal that this result can be expressed by means of a small correction to the corresponding solution of the frictionless Black-Scholes type problem, resembling a multi-dimensional 'bandwidth' around the vanilla case, which, moreover, is readily tractable. © 2006 Taylor & Francis.
Atkinson C, de Lara MM, 2006, Fluid reaction on a vibrating disc in a viscous medium, INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE, Vol: 44, Pages: 973-995, ISSN: 0020-7225
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- Citations: 1
Papanastasiou P, Atkinson C, 2006, Representation of crack-tip plasticity in pressure sensitive geomaterials: Large scale yielding, INTERNATIONAL JOURNAL OF FRACTURE, Vol: 139, Pages: 137-144, ISSN: 0376-9429
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- Citations: 8
Atkinson C, Pereira PJS, 2005, Flow of a nematic liquid crystal near the leading edge of an infinite prism, QUARTERLY JOURNAL OF MECHANICS AND APPLIED MATHEMATICS, Vol: 58, Pages: 503-533, ISSN: 0033-5614
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- Citations: 4
Atkinson C, Pereira PJS, 2005, Reciprocal and related theorems for nematic liquid crystals, INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE, Vol: 43, Pages: 1185-1205, ISSN: 0020-7225
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- Citations: 2
Eftaxiopoulos DA, Atkinson C, 2005, A nonlinear, anisotropic and axisymmetric model for balloon angioplasty, PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol: 461, Pages: 1097-1128, ISSN: 1364-5021
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- Citations: 20
Chen CY, Atkinson C, 2005, The influence of layer thickness on the stress intensity factor of a penny-shaped crack in a sandwiched viscoelastic bimaterial, INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE, Vol: 43, Pages: 222-249, ISSN: 0020-7225
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- Citations: 7
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