Buscar
Mostrando ítems 1-10 de 29
A Numerical Strategy for Telecommunications Networks Capacity Planning Under Demand and Price Uncertainty
(Elsevier BV * North-Holland, 2017-07)
[Abstract] The massive use of Internet in the last twenty years has created a huge demand for telecommunications networks capacity. In this work, financial option pricing methods are applied to the problem of network ...
Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
(MDPI AG, 2019-08-06)
[Abstract] In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the ...
PDE Models and Numerical Methods for Total Value Adjustment in European and American Options with Counterparty Risk
(Elsevier Inc., 2017-09-01)
[Abstract] Since the last financial crisis, a relevant effort in quantitative finance research concerns the consideration of counterparty risk in financial contracts, specially in the pricing of derivatives. As a consequence ...
A Two-Dimensional Multi-Species Model for Different Listeria Monocytogenes Biofilm Structures and Its Numerical Simulation
(Elsevier BV, 2020-11-01)
[Abstract] In this work we propose a two-dimensional multi-species model to describe the dynamics of biofilms formed by the pathogenic bacteria Listeria monocytogenes. Different Listeria monocytogenes strains produce ...
Transient hysteresis and inherent stochasticity in gene regulatory networks
(Nature Publishing Group, 2019-10-08)
[Abstract] Cell fate determination, the process through which cells commit to differentiated states is commonly mediated by gene regulatory motifs with mutually exclusive expression states. The classical deterministic ...
PDE Models for the Pricing of a Defaultable Coupon-Bearing Bond Under an Extended JDCEV Model
(Elsevier, 2021)
[Abstract] We consider a two-factor model for the pricing of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance ...
Numerical solution of a 1-d elastohydrodynamic problem in magnetic storage devices
(E D P Sciences, 2008-07)
[Abstract] In this work we present new numerical methods to simulate the mechanics of head-tape magnetic storage devices. The elastohydrodynamic problem is formulated in terms of a coupled system which is governed by a ...
Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device
(E D P Sciences, 2002-03)
[Abstract] The aim of this work is to deduce the existence of solution of a coupled problem arising in elastohydrodynamic lubrication. The lubricant pressure and concentration are modelled by Reynolds equation, jointly ...
Quantum Arithmetic for Directly Embedded Arrays
(MDPI, 2021)
[Abstract] We describe a general-purpose framework to implement quantum algorithms relying upon an efficient handling of arrays. The cornerstone of the framework is the direct embedding of information into quantum amplitudes, ...
Model and numerical methods for pricing renewable energy certificate derivatives
(Elsevier B.V., 2023-04)
[Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors ...