Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA): Envíos recentes
Mostrando ítems 6-10 de 95
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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 ... -
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] ... -
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 ... -
Uncertainty quantification and Heston model
(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, ... -
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
(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 ...