Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por título

Mostrando ítems 72-91 de 95

    • Quantum Arithmetic for Directly Embedded Arrays 

      Manzano, Alberto; Musso, Daniele; Leitao, Álvaro; Gómez, Andrés; Vázquez, Carlos; Ordóñez, Gustavo; Rodríguez Nogueiras, María (MDPI, 2021)
      [Abstract] We describe a general-purpose framework to implement quantum algorithms relying upon an efficient handling of arrays. The cornerstone of the framework is the direct embedding of information into quantum amplitudes, ...

    • Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs 

      Gobet, Emmanuel; López-Salas, José Germán; Vázquez, Carlos (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 ...

    • Quasi-Regression Monte-Carlo Scheme for Semi-Linear PDEs and BSDEs with Large Scale Parallelization on GPUs 

      Gobet, Emmanuel; López Salas, José Germán; Vázquez, Carlos (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 ...

    • Real quantum amplitude estimation 

      Manzano, Alberto; Musso, Daniele; Leitao, Álvaro (Springer, 2023)
      [Abstract]: We introduce the Real Quantum Amplitude Estimation (RQAE) algorithm, an extension of Quantum Amplitude Estimation (QAE) which is sensitive to the sign of the amplitude. RQAE is an iterative algorithm which ...

    • SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives 

      Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López Salas, José Germán; Vázquez, Carlos (Elsevier, 2014-09-01)
      [Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models ...

    • Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance 

      López Salas, José Germán; Suárez Taboada, María; Castro Díaz, Manuel Jesús; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio (Springer Nature, 2024-06-06)
      [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. ...

    • Second-Order Pure Lagrange-Galerkin Methods for Fluid-Structure Interaction Problems 

      Benítez, Marta; Bermúdez, Alfredo (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 ...

    • SELANSI: A toolbox for simulation of stochastic gene regulatory networks 

      Pájaro Diéguez, Manuel; Otero-Muras, Irene; Vázquez, Carlos; Alonso, Antonio (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 ...

    • Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model 

      López Salas, José Germán; Vázquez, Carlos (Springer, 2017-09-20)
      [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, ...

    • Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives 

      Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López Salas, José Germán; Vázquez, Carlos (Springer, 2015)
      [Abstract]: In the more classical models for equities and interest rates evolution, constant volatility is usually assumed. However, in practice the volatilities are not constant in financial markets and different models ...

    • Spline local basis methods for nonparametric density estimation 

      Kirkby, Justin Lars; Leitao, Álvaro; Nguyen, Duy (Institute of Mathematical Statistics, 2023)
      [Abstract]: This work reviews the literature on spline local basis methods for non-parametric density estimation. Particular attention is paid to B-spline density estimators which have experienced recent advances in both ...

    • Stabilized dual-mixed method for the problem of linear elasticity with mixed boundary conditions 

      González Taboada, María (Pergamon Press, 2014-04)
      [Abstract] We extend the applicability of the augmented dual-mixed method introduced recently in Gatica (2007), Gatica et al. (2009) to the problem of linear elasticity with mixed boundary conditions. The method is based ...

    • Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs 

      Fernández, J. L.; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; Leitao, Álvaro; López Salas, José Germán; Vázquez, Carlos (Elsevier, 2013-08)
      [Abstract]: For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to ...

    • Stochastic SIR model predicts the evolution of COVID-19 epidemics from public health and wastewater data in small and medium-sized municipalities: A one year study 

      Pájaro Diéguez, Manuel; Fajar, Noelia M; Alonso, Antonio; Otero-Muras, Irene (Elsevier, 2022-11)
      [Abstract]: The level of unpredictability of the COVID-19 pandemics poses a challenge to effectively model its dynamic evolution. In this study we incorporate the inherent stochasticity of the SARS-CoV-2 virus spread by ...

    • Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs 

      Gobet, Emmanuel; López Salas, José Germán; Turkedjiev, Plamen; Vázquez, Carlos (Society for Industrial and Applied Mathematics (SIAM), 2016-06)
      [Abstract]: In this paper, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time Backward Stochastic Differential Equations (BSDEs). Our algorithm allows ...

    • The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 

      Grzelak, L. A.; Witteveen, J. A. S.; Suárez Taboada, María; Oosterlee, Cornelis W. (Taylor and Francis Group & Routledge, 2019)
      [Abstract]: In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC ...

    • The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread 

      Leitao, Álvaro; Vázquez, Carlos (Elsevier, 2022)
      [Abstract]: In this article we mainly extend a newly introduced deterministic model for the COVID-19 disease to a stochastic setting. More precisely, we incorporated randomness in some coefficients by assuming that they ...

    • Total Value Adjustment for European Options in a Multi‐Currency Setting 

      Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos (Elsevier, 2022)
      [Abstract] In this article we mainly extend to a multi-currency setting some previous works in the literature concerning total value adjustments in a single currency framework. The motivation comes from the fact that ...

    • Transient hysteresis and inherent stochasticity in gene regulatory networks 

      Pájaro Diéguez, Manuel; Otero-Muras, Irene; Vázquez, Carlos; Alonso, Antonio (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 ...

    • Uncertainty quantification and Heston model 

      Suárez Taboada, María; Witteveen, Jeroen A. S.; Grzelak, Lech A.; Oosterlee, Cornelis W. (SpringerOpen, 2018-07)
      [Abstract]: In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, ...