We wish to express our sincere condolences to the family of Vladimir Entov, who died on April 10th 2008. Professor Entov was an Editor of the European Journal of Applied Mathematics from 1994 to 2007. He was a brilliant scientist and a staunch supporter of this journal, and will be greatly missed by his many friends and colleagues around the world.

Sam Howison, Andrew Lacey, and Michael Ward

Co-Editors in Chief, European Journal of Applied Mathematics

In this article, we present a simplified means of pricing Asian options using partial differential equations (PDEs). We first provide a concise derivation of the well-known similarity reduction and exact Laplace transform solution. We then analyse the problem afresh as a power series in the volatility-scaled contract duration, with a view to obtaining an asymptotic solution for the low-volatility limit, a limit which presents difficulties in the context of the general Laplace transform solution. The problem is approached anew from the point of view of asymptotic expansions and the results are compared with direct, high precision, inversion of the Laplace transform and with numerical results obtained by V. Linetsky and J. Vecer. Our asymptotic formulae are little more complicated than the standard Black–Scholes formulae and, working to third order in the volatility-scaled expiry, are accurate to at least four significant figures for standard test problems. In the case of zero risk-neutral drift, we have the solution to fifth order and, for practical purposes, the results are effectively exact. We also provide comparisons with the hybrid analytic and finite-difference method of Zhang.

This paper is concerned with some non-linear propagation phenomena for reaction–advection–diffusion equations with Kolmogrov–Petrovsky–Piskunov (KPP)-type non-linearities in general periodic domains or in infinite cylinders with oscillating boundaries. Having a variational formula for the minimal speed of propagation involving eigenvalue problems (proved in Berestycki, H., Hamel, F. & Nadirashvili, N. (2005) The speed of propagation for KPP type problems (periodic framework). J. Eur. Math. Soc. 7, 173–213), we consider the minimal speed of propagation as a function of diffusion factors, reaction factors and periodicity parameters. There we study the limits, the asymptotic behaviours and the variations of the considered functions with respect to these parameters. One of the sections deals with homogenization problem as an application of the results in the previous sections in order to find the limit of the minimal speed when the periodicity cell is very small.

A model of cell-growth, describing the evolution of the age–size distribution of cells in different phases of cell-growth, is studied. The model is based on that used in several papers by Basse et al. and is composed of a system of partial differential equations, each describing the changes in the age–size distribution of cells in a specific phase of cell-growth. Here, the ‘age’ of a cell is considered to be the time spent in its current phase of cell-growth, while ‘size’ is considered to be the DNA content of the cell. The existence of steady age–size distributions (SASDs), where the age–size distributions retain the same shape but are scaled up or down as time increases, is investigated and it is shown that SASDs exist. A speculative discussion of the stability of these SASDs is also included, but their stability is not conclusively proved.

We review simple models of oil reservoirs and suggest some ideas for theoretical and numerical study of this important inverse problem. These models are formed by a system of an elliptic and a parabolic (or first-order hyperbolic) quasilinear partial differential equations. There are and probably there will be serious theoretical and computational difficulties mainly due to the degeneracy of the system. The practical value of the problem justifies efforts to improve the methods for its solution. We formulate ‘history matching’ as a problem of identification of two coefficients of this system. We consider global and local versions of this inverse problem and propose some approaches, including the use of the inverse conductivity problem and the structure of fundamental solutions. The global approach looks for properties of the ground in the whole domain, while the local one is aimed at recovery of these properties near wells. We discuss the use of the model proposed by Muskat which is a difficult free boundary problem. The inverse Muskat problem combines features of inverse elliptic and hyperbolic problems. We analyse its linearisation about a simple solution and show uniqueness and exponential instability for the linearisation.