Related papers: Isogeometric analysis in option pricing
We consider an adaptive algorithm for finite element methods for the isogeometric analysis (IGAFEM) of elliptic (possibly non-symmetric) second-order partial differential equations in arbitrary space dimension $d\ge2$. We employ…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
This paper presents a general theory and isogeometric finite element implementation for studying mass conserving phase transitions on deforming surfaces. The mathematical problem is governed by two coupled fourth-order nonlinear partial…
Spline functions have long been used in numerical solution of differential equations. Recently it revives as isogeometric analysis, which offers integration of finite element analysis and NURBS based CAD into a single unified process.…
This paper proposes an isogeometric boundary element method (IGBEM) to solve the electromagnetic scattering problems for three-dimensional doubly-periodic multi-layered structures. The main concerns are the constructions of (i) an open…
This paper presents an approach to generalize the concept of isogeometric analysis (IGA) by allowing different spaces for parameterization of the computational domain and for approximation of the solution field. The method inherits the main…
In mathematical finance, many derivatives from markets with frictions can be formulated as optimal control problems in the HJB framework. Analytical optimal control can result in highly nonlinear PDEs, which might yield unstable numerical…
In this paper, finite element method is applied to Leland's model for numerical simulation of option pricing with transaction costs. Spatial finite element models based on P1 and/or P2 elements are formulated in combination with a…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
his paper presents finite element methods for solving numerically the Risk-Adjusted Pricing Methodology (RAPM) Black-Scholes model for option pricing with transaction costs. Spatial finite element models based on P1 and/or P2 elements are…
In this paper, we consider $C^1$ cubic Powell-Sabin splines for the numerical solution of boundary value problems on planar and spatial surface domains. We first review the construction and basic properties of polynomial and rational $C^1$…
High-order spatial discretisations and full discretisations of parabolic partial differential equations on evolving surfaces are studied. We prove convergence of the high-order evolving surface finite element method, by showing high-order…
Locking is a common effect in finite element and isogeometric analysis. In the case of plates, transverse shear locking is most prominent, for shells several other types of locking exist. A common cure are mixed methods that introduce…
In this contribution, we provide a new mass lumping scheme for explicit dynamics in isogeometric analysis (IGA). To this end, an element formulation based on the idea of dual functionals is developed. Non-Uniform Rational B-splines (NURBS)…
In this paper, a novel isogeometric method for Biot's consolidation model is constructed and analyzed, using a four-field formulation where the unknown variables are the solid displacement, solid pressure, fluid flux, and fluid pressure.…
Isogeometric Analysis (IgA) is a spline based approach to the numerical solution of partial differential equations. There are two major issues that IgA was designed to address. The first issue is the exact representation of domains stemming…
Recognizing the importance of jump risk in option pricing, we propose a neural jump stochastic differential equation model in this paper, which integrates neural networks as parameter estimators in the conventional jump diffusion model. To…
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The model considers four stochastic drivers, each represented…
In this paper, a novel and effective formulation based on isogeometric approach (IGA) and Refined Plate Theory (RPT) is proposed to study the behavior of laminated composite plates. Using many kinds of higher-order distributed functions,…
In the present work, a new methodology is proposed for building surrogate parametric models of engineering systems based on modular assembly of pre-solved modules. Each module is a generic parametric solution considering parametric…