Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por autor "Suárez Taboada, María"
Mostrando ítems 1-4 de 4
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IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing
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]: The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible nonlinearities in the source and ... -
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. ... -
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 ... -
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, ...