Listar GI-M2NICA - Congresos, conferencias, etc. por autor "Castro Díaz, Manuel Jesús"

Mostrando ítems 1-2 de 2

    • IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing 

      López Salas, José Germán; Suárez Taboada, María; Castro Díaz, Manuel Jesús; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio (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 ...

    • Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance 

      López Salas, José Germán; Suárez Taboada, María; Castro Díaz, Manuel Jesús; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio (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. ...