Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por título
Mostrando ítems 57-76 de 95
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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, ... -
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 ... -
PDE Models for the Pricing of a Defaultable Coupon-Bearing Bond Under an Extended JDCEV Model
(Elsevier, 2021)[Abstract] We consider a two-factor model for the pricing of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance ... -
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] ... -
Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
(Infopro Digital Services, 2012)[Abstract] In this paper, a partial differential equation model for the pricing of pension plans based on average salary is posed by using the dynamic hedging methodology. The existence and uniqueness of solutions for ... -
Pricing pension plans under jump–diffusion models for the salary
(Elsevier, 2014)[Abstract] In this paper we consider the valuation of a defined benefit pension plan in the presence of jumps in the underlying salary and including the possibility of early retirement. We will consider that the salary ... -
Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method
(2023-04)[Abstract]: The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized ... -
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 ... -
Pricing TARN options with a stochastic local volatility model
(Universidad de Oviedo, Servicio de Publicaciones, 2021)[Abstract]: Target Accumulation Redemption Notes (TARNs) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this ... -
Pure Lagrangian and Semi-Lagrangian Finite Element Methods for the Numerical Solution of Convection-Diffusion Problems
(University of Alberta, Northwestern Polytechnical University, Institute for Scientific Computing, 2014)[Abstract]: In this paper we propose a unified formulation to introduce and analyze (pure) Lagrangian and semi-Lagrangian methods for solving convection-diffusion partial differential equations. This formulation allows us ... -
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 ... -
Quantum Arithmetic for Directly Embedded Arrays
(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
(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
(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
(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
(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 ...