Listar GI-M2NICA - Artigos por data de publicación
Mostrando ítems 21-40 de 56
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A posteriori error analysis of an augmented mixed finite element method for Darcy flow
(Elsevier BV, 2015-01)[Abstract] We develop an a posteriori error analysis of residual type of stabilized mixed finite element method for Darcy flow. The stabilized formulation is obtained by adding to the standard dual-mixed approach suitable ... -
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 ... -
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 ... -
A new numerical method for pricing fixed-rate mortgages withprepayment and default options
(Taylor & Francis Online, 2016)[Abstract] In this paper we consider the valuation of fixed-rate mortgages including prepayment and default options,where the underlying stochastic factors are the house price and the interest rate. The mathematical modelto ... -
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 ... -
A Numerical Strategy for Telecommunications Networks Capacity Planning Under Demand and Price Uncertainty
(Elsevier BV * North-Holland, 2017-07)[Abstract] The massive use of Internet in the last twenty years has created a huge demand for telecommunications networks capacity. In this work, financial option pricing methods are applied to the problem of network ... -
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 ... -
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 ... -
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
(Elsevier, 2019)[Abstract] In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with ... -
Transient hysteresis and inherent stochasticity in gene regulatory networks
(Nature Publishing Group, 2019-10-08)[Abstract] Cell fate determination, the process through which cells commit to differentiated states is commonly mediated by gene regulatory motifs with mutually exclusive expression states. The classical deterministic ... -
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 ... -
A Two-Dimensional Multi-Species Model for Different Listeria Monocytogenes Biofilm Structures and Its Numerical Simulation
(Elsevier BV, 2020-11-01)[Abstract] In this work we propose a two-dimensional multi-species model to describe the dynamics of biofilms formed by the pathogenic bacteria Listeria monocytogenes. Different Listeria monocytogenes strains produce ... -
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
(MDPI AG, 2020-12-28)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding ... -
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 ... -
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 ... -
Upwind Finite Element-PML Approximation of a Novel Linear Potential Model for Free Surface Flows Produced by a Floating Rigid Body
(Elsevier, 2021)[Abstract] A novel linear potential model is presented to compute free surface flows of incompressible fluids produced by the motion of a floating rigid body in the presence of an underlying non-uniform flow. In particular, ... -
Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
(MDPI AG, 2021-02-25)[Abstract] Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a ... -
A Modular Framework for Generic Quantum Algorithms
(MDPI, 2022)[Abstract] We describe a general-purpose framework to design quantum algorithms. This framework relies on two pillars: a basic data structure called quantum matrix and a modular structure based on three quasi-independent ... -
Wastewater and marine bioindicators surveillance to anticipate COVID-19 prevalence and to explore SARS-CoV-2 diversity by next generation sequencing: One-year study
(Elsevier, 2022)[Abstract] This study presents the results of SARS-CoV-2 surveillance in sewage water of 11 municipalities and marine bioindicators in Galicia (NW of Spain) from May 2020 to May 2021. An integrated pipeline was developed ... -
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 ...