Zobrazeno 1 - 10
of 34
pro vyhledávání: '"Vera N. Egorova"'
Publikováno v:
Mathematics, Vol 12, Iss 4, p 602 (2024)
This paper introduces the exponential time differencing (ETD) technique as a numerical method to efficiently solve vulnerable American options pricing. We address several challenges, including removing cross-derivative terms through appropriate trans
Externí odkaz:
https://doaj.org/article/5475fc1f10eb4bc6a8b28804dedcef35
Publikováno v:
Mathematics, Vol 11, Iss 6, p 1296 (2023)
A two-dimensional free-boundary diffusive logistic model with radial symmetry is considered. This model is used in various fields to describe the dynamics of spreading in different media: fire propagation, spreading of population or biological invasi
Externí odkaz:
https://doaj.org/article/9c4c1c65d5a748c3b00688d7bf40eb1a
Publikováno v:
Applied Mathematical Modelling, 2022, 104, 1-20
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
This is the second part of a series of two papers concerning fire-spotting generated fires. While, in the first part, we focus on the impact of macro-scale factors on the growth of the burning area by considering the atmospheric stability conditions,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0a51635e66f0867f7905d1f876ea288
https://doi.org/10.1016/j.apm.2021.11.010
https://doi.org/10.1016/j.apm.2021.11.010
Publikováno v:
Mathematics, Vol 9, Iss 2, p 160 (2021)
In this paper, we consider random hyperbolic partial differential equation (PDE) problems following the mean square approach and Laplace transform technique. Randomness requires not only the computation of the approximating stochastic processes, but
Externí odkaz:
https://doaj.org/article/a15dddc632dc4cbfb57d2dc74935b37f
Publikováno v:
Mathematical Modelling and Analysis, Vol 23, Iss 1 (2018)
In this work, we apply the local Wendland radial basis function (RBF) for solving the time-dependent multi dimensional option pricing nonlinear PDEs. Firstly, cross derivative terms of the PDE are removed with a change of spatial variables based in L
Externí odkaz:
https://doaj.org/article/371f4821fefa4fad99d082c342bc960e
Publikováno v:
Mathematical Methods in the Applied Sciences, 2023, 46(9), 10332-10347
In this paper, we propose a numerical method for American multi-asset options under jump-diffusion model based on the combination of the exponential time differencing (ETD) technique for the differential operator and Gauss-Hermite quadrature for the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::90009bc81f4876b421cc4321e515fed0
https://hdl.handle.net/10902/28969
https://hdl.handle.net/10902/28969
A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
Publikováno v:
Mathematical Methods in the Applied Sciences, 2022, 45(6), 3334-3344
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
[EN] A new efficient numerical method is proposed for valuation of American option on zero-coupon bond using Hull and White model. By applying the front-fixing transformation suggested by Holmes and Yang, the original free boundary problem is transfo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::748575da741bf3cf6166d9558d53eb4d
https://doi.org/10.1002/mma.7505
https://doi.org/10.1002/mma.7505
Publikováno v:
Applied Mathematical Modelling, 2020, 84, 590-609
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
BIRD: BCAM's Institutional Repository Data
instname
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
BIRD: BCAM's Institutional Repository Data
instname
This is the first part of two papers concerning fire-spotting generated fires. In this part we deal with the impact of macroscale factors, such as the atmospheric stability, and in the second part we deal with mesoscale factors, such as the flame geo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8c2f0253e82c6a3978801255577e77fd
https://doi.org/10.1016/j.apm.2019.02.010
https://doi.org/10.1016/j.apm.2019.02.010
Autor:
Vera N. Egorova, Gianni Pagnini
Publikováno v:
Advances in Forest Fire Research 2022 ISBN: 9789892622989
The aim of the present study is to provide a simple yet complete addition to operational fire spread models for representing the random behavior of fire-spotting in various climate classes through simple inputs related to the wildfires. Results from
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::55d5f9410e76748b95323243fe4aca94
https://doi.org/10.14195/978-989-26-2298-9_244
https://doi.org/10.14195/978-989-26-2298-9_244
Publikováno v:
RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname
Mathematics and Computers in Simulation, 2021, 189, 69-84
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
instname
Mathematics and Computers in Simulation, 2021, 189, 69-84
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
[EN] American options prices under jump-diffusion models are determined by a free boundary partial integro-differential equation (PIDE) problem. In this paper, we propose a front-fixing exponential time differencing (FF-ETD) method composed of severa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dee864916753c0382920e5cc0d932662
https://hdl.handle.net/10251/179436
https://hdl.handle.net/10251/179436