Listar GI-M2NICA - Congresos, conferencias, etc. por título

Mostrando ítems 7-11 de 11

    • Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield 

      Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; Oosterlee, Cornelis (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 ...

    • Numerical Simulation of a Nonlinear Problem Arising in Heat Transfer and Magnetostatics 

      González Taboada, María; Varela Rodríguez, Hiram (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 ...

    • On the Adaptive Numerical Solution to the Darcy–Forchheimer Model † 

      González Taboada, María; Varela Rodríguez, Hiram (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 

      Manzano, Alberto; Musso, Daniele; Leitao, Álvaro; Gómez, Andrés; Vázquez, Carlos; Ordóñez, Gustavo; Rodríguez Nogueiras, María (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, ...

    • Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs 

      Gobet, Emmanuel; López-Salas, José Germán; Vázquez, Carlos (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 ...