Related papers: Old Problems, Classical Methods, New Solutions
In this paper, a one-phase Stefan-type problem for a semi-infinite material which has as its main feature a variable latent heat that depends on the power of the position and the velocity of the moving boundary is studied. Exact solutions…
We present a class of new explicit and stable numerical algorithms to solve the spatially discretized linear heat or diffusion equation. After discretizing the space and the time variables like conventional finite difference methods, we do…
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
Motivated by applications in economics and finance, in particular to the modeling of limit order books, we study a class of stochastic second-order PDEs with non-linear Stefan-type boundary interaction. To solve the equation we transform…
This is mainly a survey, explaining how the probabilistic (statistical mechanical) construction of Kahler-Einstein metrics on compact complex manifolds, introduced in a series of works by the author, naturally arises from classical…
We propose a level-set approach to characterize the region occupied by the solid in Stefan problems with and without surface tension, based on their recent probabilistic reformulation. The level-set function is parameterized by a…
In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Amongst the numerous problems addressed, the optimal execution of large orders is probably the one that has attracted the most…
The Ornstein-Uhlenbeck process is interpreted as Brownian motion in a harmonic potential. This Gaussian Markov process has a bounded variance and admits a stationary probability distribution, in contrast to the standard Brownian motion. It…
We will discuss various aspects of thermalization, chaos and hydrodynamics in one dimensional classical Hamiltonian systems. We study two problems. First, we will revisit the Fermi-Pasta-Ulam-Tsingou (FPUT) problem in order to understand…
We begin our journey by recalling the fundamentals of Probability Theory that underlie one of its most significant applications to real-world problems: Parametric Estimation. Throughout the text, we systematically develop this theme by…
We prove the global-time existence of weak solutions to the supercooled Stefan problem. Our result holds in general space dimensions and with a general class of initial data. In addition, our solution is maximal in the sense of a certain…
In this article we consider a mathematical model of an initial stage of closure electrical contact that involves a metallic vaporization after instantaneous exploding of contact due to arc ignition with power $P_0$ on fixed face $z=0$ and…
The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion…
We consider the pricing of energy spread options for spot prices following an exponential Ornstein-Uhlenbeck process driven by a sum of independent multivariate variance gamma processes, which gives rise to mean-reverting, infinite activity…
The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting mean-reverting properties. When structural changes happen,…
We consider two implicit approximation schemes of the one-dimensional supercooled Stefan problem and prove their convergence, even in the presence of finite time blow-ups. All proofs are based on a probabilistic reformulation recently…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…