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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, ...
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 ...
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 ...
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 ...
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 ...
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 ...
Equilibrium models with heterogeneous agents under rational expectations and its numerical solution
(Elsevier B.V., 2021-05)
[Abstract]: In this work we assume rational expectations to pose general equilibrium models with heterogeneous firms that can enter or exit the industry. More precisely, we assume a general Ito process for the dynamics of ...
Global optimization for data assimilation in landslide tsunami models
(Elsevier, 2020-02-15)
[Abstract]: The goal of this article is to make automatic data assimilation for a landslide tsunami model, given by the coupling between a non-hydrostatic multi-layer shallow-water and a Savage-Hutter granular landslide ...
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
(Society for Industrial and Applied Mathematics (SIAM), 2021-01)
[Abstract]: In this work, we mainly develop a new numerical methodology to solve a PDE model recently proposed in the literature for pricing interest rate derivatives. More precisely, we use high-order-in-time AMFR-W-methods, ...