Browsing GI-M2NICA - Congresos, conferencias, etc. by Issue Date
Now showing items 1-19 of 19
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Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives
(Springer, 2015)[Abstract]: In the more classical models for equities and interest rates evolution, constant volatility is usually assumed. However, in practice the volatilities are not constant in financial markets and different models ... -
Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
(Springer, 2016)[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been ... -
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
(EDP Science, 2019-04-02)[Abstract]: We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results ... -
Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
(MDPI AG, 2019-08-06)[Abstract] In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the ... -
A New Technique for Improved Use of Thermal Energy from Waste Effluents
(MDPI AG, 2020-01-09)[Abstract] Energy sustainability and environmental protection in general are at the heart of engineering and industry discussions. Countless efforts have been devoted to improving the energy efficiency of industrial processes ... -
Computation of Resonance Modes in Open Cavities with Perfectly Matched Layers
(MDPI AG, 2020-08-18)[Abstract] During the last decade, several authors have addressed that the Perfectly Matched Layers (PML) technique can be used not only for the computation of the near-field in time-dependent and time-harmonic scattering ... -
European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks
(MDPI AG, 2020-08-19)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based ... -
Numerical Simulation of a Nonlinear Problem Arising in Heat Transfer and Magnetostatics
(MDPI AG, 2020-08-19)[Abstract] We present a numerical model that comprises a nonlinear partial differential equation. We apply an adaptive stabilised mixed finite element method based on an a posteriori error indicator derived for this ... -
Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
(MDPI AG, 2020-09-15)[Abstract] Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach ... -
Deep Learning-Based Method for Computing Initial Margin †
(MDPI, 2021)[Abstract] Following the guidelines of the Basel III agreement (2013), large financial institutions are forced to incorporate additional collateral, known as Initial Margin, in their transactions in OTC markets. Currently, ... -
On the Adaptive Numerical Solution to the Darcy–Forchheimer Model †
(MDPI, 2021)[Abstract] We considered a primal-mixed method for the Darcy–Forchheimer boundary value problem. This model arises in fluid mechanics through porous media at high velocities. We developed an a posteriori error analysis of ... -
Quantum Arithmetic for Directly Embedded Arrays
(MDPI, 2021)[Abstract] We describe a general-purpose framework to implement quantum algorithms relying upon an efficient handling of arrays. The cornerstone of the framework is the direct embedding of information into quantum amplitudes, ... -
XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods
(Universidad de Oviedo, Servicio de Publicaciones, 2021)[Abstract]: In this work, we derive new linear and nonlinear partial differential equations (PDEs) models for pricing American options and total value adjustment in the presence of counterparty risk. Moreover, stochastic ... -
Pricing TARN options with a stochastic local volatility model
(Universidad de Oviedo, Servicio de Publicaciones, 2021)[Abstract]: Target Accumulation Redemption Notes (TARNs) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this ... -
First passage times as a measure of hysteresis in stochastic gene regulatory circuits
(Elsevier, 2022)[Abstract]: In the context of phenotype switching and cell fate determination, numerousexperimental studies report hysteresis, despite the fact that the (forward) Chemical Master Equation governing the inherently stochastic ... -
Feedback control of stochastic gene switches using PIDE models
(Elsevier, 2022)[Abstract]: Achieving control of gene regulatory circuits is one of the goals of synthetic biology, as a way to regulate cellular functions for useful purposes (in biomedical, environmental or industrial applications). The ... -
A hybrid numerical approach to quantify directivity patterns using phaseless hydroacoustic data
(European Acoustics Association, 2023)[Abstract]: Hydroacoustic transducers have been used profusely in monitoring activities in coastal and oceanic marine environments for fishery purposes and the health evaluation of the seabed and its related biological ... -
Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance
(Springer Nature, 2024-06-06)[Abstract]: We present a novel and general methodology for building second order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two dimensional financial parabolic PDEs with mixed derivatives. ... -
IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing
(Springer Nature, 2024-06-06)[Abstract]: The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible nonlinearities in the source and ...
