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Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance
| dc.contributor.author | López Salas, José Germán | |
| dc.contributor.author | Suárez Taboada, María | |
| dc.contributor.author | Castro Díaz, Manuel Jesús | |
| dc.contributor.author | Ferreiro Ferreiro, Ana María | |
| dc.contributor.author | García Rodríguez, José Antonio | |
| dc.date.accessioned | 2024-07-22T12:45:07Z | |
| dc.date.issued | 2024-06-06 | |
| dc.identifier.citation | López-Salas, J.G., Suárez-Taboada, M., Castro, M.J., Ferreiro-Ferreiro, A.M., García-Rodríguez, J.A. (2024). Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance. In: Parés, C., Castro, M.J., Morales de Luna, T., Muñoz-Ruiz, M.L. (eds) Hyperbolic Problems: Theory, Numerics, Applications. Volume II. HYP 2022. SEMA SIMAI Springer Series, vol 35. Springer, Cham. https://doi.org/10.1007/978-3-031-55264-9_13 | es_ES |
| dc.identifier.isbn | 978-3-031-55263-2 | |
| dc.identifier.isbn | 978-3-031-55266-3 | |
| dc.identifier.isbn | 978-3-031-55264-9 | |
| dc.identifier.issn | 2199-3041 | |
| dc.identifier.issn | 2199-305X | |
| dc.identifier.uri | http://hdl.handle.net/2183/38191 | |
| dc.description | © 2024 The Author(s), under exclusive license to Springer Nature Switzerland AG | es_ES |
| dc.description | ©2024 This version of the article has been accepted for publication, after peer review and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: https://doi.org/10.1007/978-3-031-55264-9_13 | es_ES |
| dc.description | The conference was held in Málaga, Spain, June 20-24, 2022 | es_ES |
| dc.description.abstract | [Abstract]: We present a novel and general methodology for building second order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two dimensional financial parabolic PDEs with mixed derivatives. The methods achieve second order convergence even in the presence of non-regular initial conditions. The IMEX time integrator allows to overcome the tiny time-step induced by the diffusive term in the explicit schemes, also providing accurate and non-oscillatory approximations of the Greeks. | es_ES |
| dc.description.sponsorship | M. Castro has has been partially supported by the grant PDC2022-133663-C21 funded by MCIN/AEI/10.13039/501100011033 and “European Union NextGenerationEU/ PRTR” and the grant PID2022-137637NB-C21 funded by MCIN/AEI/- 10.13039/50110001103 and “ERDF A way of making Europe”. The other authors’ research has been funded by the Spanish MINECO under research project number PDI2019-108584RB-I00 and by the grant ED431G 2019/01 of CITIC, funded by Consellería de Educación,Universidade e Formación Profesional of Xunta de Galicia and FEDER. | es_ES |
| dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
| dc.language.iso | eng | es_ES |
| dc.publisher | Springer Nature | es_ES |
| dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PDC2022-133663-C21/ES/DESARROLLO DE HERRAMIENTAS PARA LA EVALUACION DE RIEGOS, ALERTA TEMPRANA Y COMPUTACION EFICIENTE PARA MAREMOTOS, FLUJOS DE LAVA Y DESLIZAMIENTOS I | es_ES |
| dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2022-137637NB-C21/ES/LEYES DE EQUILIBRIO NO LINEALES PARA SIMULACION EN MECANICA DE FLUIDOS: MODELIZACION, METODOS NUMERICOS, ANALISIS, IMPLEMENTACION EFICIENTE Y APLICACIONES I | es_ES |
| dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-108584RB-I00/ES/METODOS MATEMATICOS Y COMPUTACIONALES PARA NUEVOS RETOS EN FINANZAS CUANTITATIVAS, MEDIAMBIENTE, BIOTECNOLOGIA E INGENIERIA/ | es_ES |
| dc.relation.uri | https://doi.org/10.1007/978-3-031-55264-9_13 | es_ES |
| dc.subject | Finite volume | es_ES |
| dc.subject | IMEX | es_ES |
| dc.subject | Mathematical finance | es_ES |
| dc.title | Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance | es_ES |
| dc.type | info:eu-repo/semantics/conferenceObject | es_ES |
| dc.type | info:eu-repo/semantics/conferenceObject | es_ES |
| dc.rights.access | info:eu-repo/semantics/embargoedAccess | es_ES |
| dc.date.embargoEndDate | 2025-06-06 | es_ES |
| dc.date.embargoLift | 2025-06-06 | |
| UDC.journalTitle | Hyperbolic Problems: Theory, Numerics, Applications. Volume II | es_ES |
| UDC.volume | 35 | es_ES |
| UDC.startPage | 145 | es_ES |
| UDC.endPage | 158 | es_ES |
| UDC.conferenceTitle | XVI International Conference on Hyperbolic Problems: Theory, Numerics, Applications (HYP2022) | es_ES |
