Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por data de publicación
Mostrando ítems 21-40 de 74
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Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
(Elsevier, 2015)[Abstract] In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the house price evolution. These models take into account sudden changes in the price (jumps) ... -
A posteriori error analysis of an augmented mixed finite element method for Darcy flow
(Elsevier BV, 2015-01)[Abstract] We develop an a posteriori error analysis of residual type of stabilized mixed finite element method for Darcy flow. The stabilized formulation is obtained by adding to the standard dual-mixed approach suitable ... -
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 ... -
Second-Order Pure Lagrange-Galerkin Methods for Fluid-Structure Interaction Problems
(SIAM, Society for Industrial and Applied Mathematics, 2015-09-30)[Abstract]: In this paper we propose a second order (both in time and in space) pure Lagrange-Galerkin method for the numerical solution of fluid-structure interaction problems. The proposed scheme is written in material ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
SELANSI: A toolbox for simulation of stochastic gene regulatory networks
(Oxford University Press, 2018-03)[Abstract]: Motivation Gene regulation is inherently stochastic. In many applications concerning Systems and Synthetic Biology such as the reverse engineering and the de novo design of genetic circuits, stochastic effects ... -
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 ... -
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 ... -
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 ... -
A New Technique for Improved Use of Thermal Energy from Waste Effluents
(MDPI AG, 2020-01-09)[Abstract] Energy sustainability and environmental protection in general are at the heart of engineering and industry discussions. Countless efforts have been devoted to improving the energy efficiency of industrial processes ... -
On an adaptive stabilized mixed finite element method for the Oseen problem with mixed boundary conditions
(Elsevier BV, 2020-06-15)[Abstract] We consider the Oseen problem with nonhomogeneous Dirichlet boundary conditions on a part of the boundary and a Neumann type boundary condition on the remaining part. Suitable least squares terms that arise from ... -
Computation of Resonance Modes in Open Cavities with Perfectly Matched Layers
(MDPI AG, 2020-08-18)[Abstract] During the last decade, several authors have addressed that the Perfectly Matched Layers (PML) technique can be used not only for the computation of the near-field in time-dependent and time-harmonic scattering ... -
European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks
(MDPI AG, 2020-08-19)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based ... -
Numerical Simulation of a Nonlinear Problem Arising in Heat Transfer and Magnetostatics
(MDPI AG, 2020-08-19)[Abstract] We present a numerical model that comprises a nonlinear partial differential equation. We apply an adaptive stabilised mixed finite element method based on an a posteriori error indicator derived for this ... -
Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
(MDPI AG, 2020-09-15)[Abstract] Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach ... -
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 ...