GI-M2NICA - Artigos
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High-order well-balanced numerical schemes for one-dimensional shallow-water systems with Coriolis terms
(Elsevier B.V., 2024-05-15)[Absctract]: The goal of this work is to develop high-order well-balanced schemes for the one-dimensional shallow-water equations with Coriolis terms. The main contribution is the development of general numerical methods ... -
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
(Society for Industrial and Applied Mathematics (SIAM), 2021-01)[Abstract]: In this work, we mainly develop a new numerical methodology to solve a PDE model recently proposed in the literature for pricing interest rate derivatives. More precisely, we use high-order-in-time AMFR-W-methods, ... -
Global optimization for data assimilation in landslide tsunami models
(Elsevier, 2020-02-15)[Abstract]: The goal of this article is to make automatic data assimilation for a landslide tsunami model, given by the coupling between a non-hydrostatic multi-layer shallow-water and a Savage-Hutter granular landslide ... -
Quasi-Regression Monte-Carlo Scheme for Semi-Linear PDEs and BSDEs with Large Scale Parallelization on GPUs
(Springer, 2019-04-04)[Abstract]: In this article we design a novel quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations, and we analyze the convergence of the ... -
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
(Elsevier, 2024-09-01)[Abstract]: In this article we derive partial differential equations (PDEs) for pricing interest rate derivatives under the generalized Forward Market Model (FMM) recently presented by A. Lyashenko and F. Mercurio in [1] ...