GI-M2NICA - Artigos: Recent submissions
Now showing items 21-25 of 74
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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 ... -
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 ... -
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 ... -
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 ...