Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA): Envíos recentes
Mostrando ítems 36-40 de 95
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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 ... -
A second order characteristics finite element scheme for natural convection problems
(Elsevier, 2011-01-31)[Abstract]: In this paper a second order characteristics finite element scheme is applied to the numerical solution of natural convection problems. Firstly, after recalling the mathe-matical model, a second order time ... -
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 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 ...