Zobrazeno 1 - 10 of 44 pro vyhledávání: '"Jódar Sánchez, Lucas Antonio"'
1
Solving random free boundary problems of Stefan type
Autor: Casabán, M.-C., Company Rossi, Rafael, Jódar Sánchez, Lucas Antonio
Publikováno v: RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
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This work has been supported by the Spanish Ministerio de Economia, Industria y Competitividad (MINECO), the Agencia Estatal de Investigacion (AEI) and Fondo Europeo de Desarrollo Regional (FEDER UE) grant MTM2017-89664-P.
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::88ab49e48eb3f4d326a3e117fba367b9
https://hdl.handle.net/10251/182207
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2
Modelling Human Behaviour in the Digital Era: Economic and Social Impacts
Autor: De la Poza, Elena, Jódar Sánchez, Lucas Antonio
Publikováno v: RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname
ECONOMICS, Vol 7, Iss 2, Pp 43-47 (2019)
This paper critically analyses the implications the digitalisation process has on individuals and organization ‘s behaviour. The digital era has positive aspects such as the access to information on real time from almost any geographical place comb
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2cf0339eec8a7a59f24e74f67d8de734
https://doi.org/10.2478/eoik-2019-0015
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4
Stable positive Monte Carlo finite difference techniques for random parabolic partial differential equations
Autor: Casabán Bartual, Mª Consuelo, Company Rossi, Rafael, Jódar Sánchez, Lucas Antonio
Publikováno v: RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
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[EN] Integral Transform technique is a powerful method for solving random partial differencial equations (RPDEs) in unbounded domains but an alternative is needed in the case of bounded domains. In this case finite difference methods have the drawbac
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::58ad58aef3e7afa8046da5c7dd3ede98
https://hdl.handle.net/10251/178217
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5
Solving linear and quadratic random matrix differential equations using: A mean square approach. The non-autonomous case
Autor: Casabán, M.C., Cortés, J.-C., Jódar Sánchez, Lucas Antonio
Publikováno v: RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname
[EN] This paper is aimed to extend, the non-autonomous case, the results recently given in the paper [1] for solving autonomous linear and quadratic random matrix differential equations. With this goal, important deterministic results like the Abel-L
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0d956c4a0faf5c070862fc814e52f9f7
https://doi.org/10.1016/j.cam.2016.11.049
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6
Analytic-Numerical Solution of Random Parabolic Models: A Mean Square Fourier Transform Approach
Autor: Casabán, M.C., Cortés, J.-C., Jódar Sánchez, Lucas Antonio
Publikováno v: Mathematical Modelling and Analysis, Vol 23, Iss 1 (2018)
Mathematical Modelling and Analysis; Vol 23 No 1 (2018); 79-100
RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
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[EN] This paper deals with the construction of mean square analytic-numerical solution of parabolic partial differential problems where both initial condition and coefficients are stochastic processes. By using a random Fourier transform, an infinite
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a6a1682090d64812acdeb93415c6c581
https://doi.org/10.3846/mma.2018.006
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7
An ETD method for American options under the Heston model
Autor: Company Rossi, Rafael, Egorova, Vera N., Jódar Sánchez, Lucas Antonio, Fuster Valls, Ferran
Publikováno v: Computer Modeling in Engineering & Sciences, 2020, 124(2), 493-508
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
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[EN] A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed. A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical draw-backs and reducing com
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c910360c75d8664bb5595fd84e60098e
http://hdl.handle.net/10902/20317
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9
Exponential time differencing schemes for pricing American option under the Heston model
Autor: Company Rossi, Rafael, Fuster, F., Jódar Sánchez, Lucas Antonio
Publikováno v: RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname
[EN] The classic Black-Scholes model makes assumptions that are not empirically valid. The model is widely employed as a useful approximation to reality, but proper application requires understanding its limitations and constant volatility of the sto
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::bcc97c75194f86f454183430e865d04f
https://hdl.handle.net/10251/180558
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10
Numerical integral transform methods for random hyperbolic models
Autor: Casabán Bartual, Mª Consuelo, Company Rossi, Rafael, Jódar Sánchez, Lucas Antonio
Publikováno v: RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname
[EN] This work deals with the construction of analytic-numerical solutions, in the mean square sense of the random heterogeneous telegraph type problem. Efficient methods for solving numerically deterministic problems such as finite-difference method
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::79c9ded6dc8968ed69fd6c4690d26d80
http://hdl.handle.net/10251/180565
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