Related papers: Old Problems, Classical Methods, New Solutions
We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit…
We compute the partition function and specific heat for a quantum mechanical particle under the influence of a quartic double-well potential non-perturbatively, using the semiclassical method. Near the region of bounded motion in the…
In this paper we consider a one-dimensional one-phase Stefan problem corresponding to the solidification process of a semi-infinite material with a convective boundary condition at the fixed face. The exact solution of this problem,…
In this expository work we discuss the asymptotic behaviour of the solutions of the classical heat equation posed in the whole Euclidean space. After an introductory review of the main facts on the existence and properties of solutions, we…
This paper considers the initial-boundary value problem for the heat equation with a dynamic type boundary condition. Under some regularity, consistency and orthogonality conditions, the existence, uniqueness and continuous dependence upon…
This work has the objective of estimating default probabilities and correlations of credit portfolios given default rate information through a Bayesian framework using Stan. We use Vasicek's single factor credit model to establish the…
We study multi-phase Stefan problem with increasing Riemann initial data and with generally negative latent specific heats for the phase transitions. We propose the variational formulation of self-similar solutions, which allows to find…
In this work, we investigate the estimation of the transient mold-slab heat flux in continuous casting molds given some thermocouples measurements in the mold plates. Mathematically, we can see this problem as the estimation of a Neumann…
Banks and financial institutions all over the world manage portfolios containing tens of thousands of customers. Not all customers are high credit-worthy, and many possess varying degrees of risk to the Bank or financial institutions that…
In this paper we consider a pairs trading financial market with the spread of risky assets defined by the Ornstein-Uhlenbeck (OU) process. We implement an optimal strategy for power utility functions for investment/consumption problem.…
We study the one-dimensional one-phase Stefan problem for the heat equation with a nonlinear boundary condition. We show that all solutions fall into one of three distinct types: global-in-time solutions with exponential decay,…
We consider the problem of determining an optimal strategy for electricity injection that faces an uncertain power demand stream. This demand stream is modeled via an Ornstein-Uhlenbeck process with an additional jump component, whereas the…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
This paper develops a new stochastic volatility model for the temperature that is a natural extension of the Ornstein-Uhlenbeck model proposed by Benth and Benth (2007). This model allows to be more conservative regarding extreme events…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
In this paper we present a MATLAB version of a non-standard finite difference scheme for the numerical solution of the perpetual American put option models of financial markets. These models can be derived from the celebrated Black-Scholes…
In this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filtering. Expectedly, the choice of the parameters is crucial to…
In this paper, we develop a Multilayer (ML) method for solving one-factor parabolic equations. Our approach provides a powerful alternative to the well-known finite difference and Monte Carlo methods. We discuss various advantages of this…
Recently it was obtained in [Tarzia, Thermal Sci. 21A (2017) 1-11] for the classical two-phase Lam\'e-Clapeyron-Stefan problem an equivalence between the temperature and convective boundary conditions at the fixed face under a certain…
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is minimised, in accordance with Basel II.…