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Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
(Infopro Digital Services, 2012)
[Abstract] In this paper, a partial differential equation model for the pricing of pension plans
based on average salary is posed by using the dynamic hedging methodology. The
existence and uniqueness of solutions for ...
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
(2017)
[Abstract] In this paper, we consider the numerical valuation of swing options in electricity
markets based on a two-factor model. These kinds of contracts are modeled as pathdependent
options with multiple exercise ...
Numerical Analysis of a Second Order Pure Lagrange--Galerkin Method for Convection-Diffusion Problems. Part II: Fully Discretized Scheme and Numerical Results
(SIAM, Society for Industrial and Applied Mathematics, 2012-11-01)
[Abstract]: We analyze a second order pure Lagrange-Galerkin method for variable coefficient
convection-(possibly degenerate) diffusion equations with mixed Dirichlet-Robin boundary conditions.
In a previous paper the ...
Pure Lagrangian and semi-Lagrangian finite element methods for the numerical solution of Navier–Stokes equations
(Elsevier, Institute for Mathematics and Computer Science (IMACS), 2015-05-26)
[Abstract]: In this paper we propose a unified formulation to introduce Lagrangian and semi-Lagrangian velocity and displacement methods for solving the Navier–Stokes equations. This formulation allows us to state classical ...
Pure Lagrangian and Semi-Lagrangian Finite Element Methods for the Numerical Solution of Convection-Diffusion Problems
(University of Alberta, Northwestern Polytechnical University, Institute for Scientific Computing, 2014)
[Abstract]: In this paper we propose a unified formulation to introduce and analyze (pure) Lagrangian and semi-Lagrangian methods for solving convection-diffusion partial differential equations. This formulation allows us ...
Numerical Analysis of a Second order Pure Lagrange–Galerkin Method for Convection-Diffusion Problems. Part I: Time Discretization
(SIAM, Society for Industrial and Applied Mathematics, 2012-04-17)
[Abstract]: We propose and analyze a second order pure Lagrangian method for variable coefficient convection-(possibly degenerate) diffusion equations with mixed Dirichlet-Robin boundary conditions. First, the method is ...
A new numerical method for pricing fixed-rate mortgages withprepayment and default options
(Taylor & Francis Online, 2016)
[Abstract] In this paper we consider the valuation of fixed-rate mortgages including prepayment and default options,where the underlying stochastic factors are the house price and the interest rate. The mathematical modelto ...
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
(SIAM, 2013)
[Abstract] In this paper, we address the mathematical analysis and numerical solution ofa model for pricing a defined benefit pension plan. More precisely, the benefits received by themember of the plan depend on the ...
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
(Elsevier, 2019)
[Abstract] In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with ...
Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
(Elsevier, 2018)
[Abstract] In this paper, we address the mathematical analysis of a partial differential equation model for pricing fixed-rate mortgages with prepayment and default options, where the underlying stochastic factors are the ...