Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Ashvin Gopaul"'
Publikováno v:
Scientific African, Vol 24, Iss , Pp e02166- (2024)
Portfolio optimisation (PO) is the problem of deciding how much of an investor’s wealth should be invested in each asset amongst a universe of assets so as to obtain a reasonable trade-off between return and risk objectives. In this paper, we addre
Externí odkaz:
https://doaj.org/article/98090b3b3d6b4b11bcf471c7042e21fc
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4a714602b20a2ef5eb14be67c1eda497
https://doi.org/10.2139/ssrn.4216422
https://doi.org/10.2139/ssrn.4216422
Publikováno v:
Emerald Open Research. 2:64
Background: Fear has been a common response to the coronavirus disease 2019 (COVID-19) pandemic throughout the world. In Mauritius, the outbreak of COVID-19 has been an exceptional occurrence requiring stringent confinement of the population. In this
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6b4314858d9d7d12176b1146452a2df6
https://doi.org/10.35241/emeraldopenres.13973.1
https://doi.org/10.35241/emeraldopenres.13973.1
Publikováno v:
International Journal of Computer Mathematics. 87:3467-3488
We present a new scheme that combines essentially non-oscillatory (ENO) reconstructions together with monotone upwind schemes for scalar conservation laws interpolants. We modify a second-order ENO polynomial by choosing an additional point inside th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a554da972ac32c3da8e837d4d47e0459
https://doi.org/10.1080/00207160903124934
https://doi.org/10.1080/00207160903124934
Publikováno v:
Numerical Algorithms. 56:481-495
Convergence of the implicitly restarted Arnoldi (IRA) method for nonsymmetric eigenvalue problems has often been studied by deriving bounds for the angle between a desired eigenvector and the Krylov projection subspace. Bounds for residual norms of a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c725b11df7ba387ce4968ad19ec0f70
https://doi.org/10.1007/s11075-010-9400-2
https://doi.org/10.1007/s11075-010-9400-2
Publikováno v:
Environmental Management and Sustainable Development. 7:115
In this paper, two forecasting methods namely, the autoregressive integrated moving average (ARIMA) and the artificial neural network (ANN) are studied to forecast the amount of rainfall in Mauritius. Indeed due to the geographical location of Maurit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b9aa2e8ea643a2ae35f0daa44dfd517b
https://doi.org/10.5296/emsd.v7i1.12566
https://doi.org/10.5296/emsd.v7i1.12566
Publikováno v:
Journal of Computational and Applied Mathematics. 224:668-678
We consider exponential time integration schemes for fast numerical pricing of European, American, barrier and butterfly options when the stock price follows a dynamics described by a jump-diffusion process. The resulting pricing equation which is in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b7140d906de0ca63d97f503156b619ac
https://doi.org/10.1016/j.cam.2008.05.047
https://doi.org/10.1016/j.cam.2008.05.047
Publikováno v:
Journal of Computational and Applied Mathematics. 222:17-29
We describe an improvement of Han and Wu’s algorithm [H. Han, X.Wu, A fast numerical method for the Black–Scholes equation of American options, SIAM J. Numer. Anal. 41 (6) (2003) 2081–2095] for American options. A high-order optimal compact sch
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::365ea7eaeeb3623686df4c38ec60b0e1
https://doi.org/10.1016/j.cam.2007.10.044
https://doi.org/10.1016/j.cam.2007.10.044
Publikováno v:
Journal of Computational and Applied Mathematics. 218(2):270-280
We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential equations to discretise the Black–Scholes PDE for the numerical pricing of European and American options. We show that for the heat equation with smooth ini
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ef9871d62be00e40b67238e4f78d9c4c
Publikováno v:
Applied Numerical Mathematics. 58:1309-1319
We consider exponential time differencing (ETD) schemes for the numerical pricing of options. Special treatments for the implementation of the boundary conditions that arise in finance are described. We show that only one explicit time step computati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0c74f9e0e05d42015044b8fe81aee004
https://doi.org/10.1016/j.apnum.2007.07.005
https://doi.org/10.1016/j.apnum.2007.07.005