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We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
This paper introduces a framework for Chance-Constrained Optimization with Complex Variables, addressing complex linear programming for both individual and joint probabilistic constraints in the complex domain. We first analyze the 3CP…
We propose a fully practical numerical scheme for the simulation of the stochastic total variation flow (STFV). The approximation is based on a stable time-implicit finite element space-time approximation of a regularized STVF equation. The…
We study a nonlinear fluid-structure interaction problem in which the fluid is described by the three-dimensional incompressible Navier-Stokes equations, and the elastic structure is modeled by the nonlinear plate equation which includes a…
We consider the compressible Vlasov-Poisson-Fokker-Planck-Navier-Stokes system in a three dimensional bounded domain with nonhomogeneous Dirichlet boundary conditions. The system describes the evolution of charged particles ensemble…
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large…
The isentropic compressible Cahn-Hilliard-Navier-Stokes equations is a system of fourth-order partial differential equations that model the evolution of some binary fluids under convection. The purpose of this paper is the design of…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
A new method for solving stiff boundary value problems is described and compared to other known approaches using the Troesch's problem as a test example. The method is based on the general idea of alternate approximation of either the…
Simulation is an efficient tool in the design and control of power electronic systems. However, quick and accurate simulation of them is still challenging, especially when the system contains a large number of switches and state variables.…
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H < 1/2$. This regime recently attracted a lot of attention both from the statistical and…
A class of stochastic parabolic equations with singular potentials is analysed in the chaos expansion setting where the Wick product is used to give sense to the product of generalized stochastic processes. For the analysis of such…
The construction of weak solutions to compressible Navier-Stokes equations via a numerical method (including a rigorous proof of the convergence) is in a short supply, and so far, available only for one sole numerical scheme suggested in…
We deal with the calculation of price sensitivities for stochastic volatility models. General forms for the dynamics of the underlying asset price and its volatility are considered. We make use of the chaotic (or Malliavin) calculus to…
The article is devoted to models of financial markets with stochastic volatility, which is defined by a functional of Ornstein-Uhlenbeck process or Cox-Ingersoll-Ross process. We study the question of exact price of European option. The…
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mixture with some components estimable to high precision or…
In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model, which was recently introduced by Da Fonseca et al. \cite{DGT08}. Our method is based onanalysis of the conditional…