Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por título
Mostrando ítems 42-61 de 95
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Jump–diffusion productivity models in equilibrium problems with heterogeneous agents
(Elsevier B.V., 2024-11)[Abstract]: In this paper we adopt a rational expectations framework to formulate general equilibrium models with heterogeneous agents. The productivity dynamics are characterized by a jump–diffusion model, thus allowing ... -
Low cost a posteriori error estimators for an augmented mixed FEM in linear elasticity
(Elsevier BV * North-Holland, 2014)[Abstract] We consider an augmented mixed finite element method applied to the linear elasticity problem and derive a posteriori error estimators that are simpler and easier to implement than the ones available in the ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
(Elsevier B.V., 2024-03)[Abstract]: In this article we make some new relevant contributions to the computation of total valuation adjustments (XVA) for financial derivatives involving several currencies. From the modelling point of view, for the ... -
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 ... -
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 ... -
Numerical Approximation of Convection-Diffusion Problems Through the PSI Method and Characteristics Method
(Springer, 2011-01-01)[Abstract]: In this work we present some numerical methods for solving evolutive convection-diffusion problems. In order to obtain a physically admissible solution we search for monotone and accurate methods that are also ... -
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
(EDP Science, 2019-04-02)[Abstract]: We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results ... -
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 ... -
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 ... -
Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
(Elsevier, 2021)[Abstract] In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates. For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green ... -
On a FEM--BEM formulation for an exterior quasilinear problem in the plane
(Society for Industrial and Applied Mathematics (SIAM), 2000-05)[Abstract] We use a version of the FEM--BEM method introduced by Costabel [ Boundary Elements IX, Vol. 1, C. A. Brebbia et al., eds., Springer-Verlag, 1987] and Han [ J. Comput. Math., 8 (1990), pp. 223--232] to discretize ... -
On a Neural Network to Extract Implied Information from American Options
(Routledge, 2022)[Abstract] Extracting implied information, like volatility and dividend, from observed option prices is a challenging task when dealing with American options, because of the complex-shaped early-exercise regions and the ... -
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 ... -
On the Adaptive Numerical Solution to the Darcy–Forchheimer Model †
(MDPI, 2021)[Abstract] We considered a primal-mixed method for the Darcy–Forchheimer boundary value problem. This model arises in fluid mechanics through porous media at high velocities. We developed an a posteriori error analysis of ... -
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
(Elsevier, 2018-03-01)[Abstract]: SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, ...