Listar GI-M2NICA - Artigos por título
Mostrando ítems 34-53 de 74
-
Low cost a posteriori error estimators for an augmented mixed FEM in linear elasticity
(Elsevier BV * North-Holland, 2014)[Abstract] We consider an augmented mixed finite element method applied to the linear elasticity problem and derive a posteriori error estimators that are simpler and easier to implement than the ones available in the ... -
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
(SIAM, 2013)[Abstract] In this paper, we address the mathematical analysis and numerical solution ofa model for pricing a defined benefit pension plan. More precisely, the benefits received by themember of the plan depend on the ... -
Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device
(E D P Sciences, 2002-03)[Abstract] The aim of this work is to deduce the existence of solution of a coupled problem arising in elastohydrodynamic lubrication. The lubricant pressure and concentration are modelled by Reynolds equation, jointly ... -
Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
(Elsevier, 2018)[Abstract] In this paper, we address the mathematical analysis of a partial differential equation model for pricing fixed-rate mortgages with prepayment and default options, where the underlying stochastic factors are the ... -
Model and numerical methods for pricing renewable energy certificate derivatives
(Elsevier B.V., 2023-04)[Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors ... -
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
(Elsevier B.V., 2024-03)[Abstract]: In this article we make some new relevant contributions to the computation of total valuation adjustments (XVA) for financial derivatives involving several currencies. From the modelling point of view, for the ... -
Numerical Analysis of a Second Order Pure Lagrange--Galerkin Method for Convection-Diffusion Problems. Part II: Fully Discretized Scheme and Numerical Results
(SIAM, Society for Industrial and Applied Mathematics, 2012-11-01)[Abstract]: We analyze a second order pure Lagrange-Galerkin method for variable coefficient convection-(possibly degenerate) diffusion equations with mixed Dirichlet-Robin boundary conditions. In a previous paper the ... -
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 ... -
Numerical solution of a 1-d elastohydrodynamic problem in magnetic storage devices
(E D P Sciences, 2008-07)[Abstract] In this work we present new numerical methods to simulate the mechanics of head-tape magnetic storage devices. The elastohydrodynamic problem is formulated in terms of a coupled system which is governed by a ... -
Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
(Elsevier, 2021)[Abstract] In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates. For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green ... -
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 ... -
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 ...