Listar GI-M2NICA - Artigos por título
Mostrando ítems 46-65 de 74
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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 ... -
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 ... -
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 ... -
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 ... -
Second-Order Pure Lagrange-Galerkin Methods for Fluid-Structure Interaction Problems
(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
(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 ... -
Spline local basis methods for nonparametric density estimation
(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
(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
(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
(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 ...