Related papers: The heat modulated infinite dimensional Heston mod…
Purpose - This paper continues the development of a comprehensive methodology for fully resolved numerical simulations of fusion deposition modeling. Design/methodology/approach - A front-tracking/finite volume method introduced in Part I…
We study the time-fractional Ivancevic option pricing model and the coupled nonlinear volatility and option price model via both modulational instability (MI) analysis and direct simulations. For the coupled volatility and option pricing…
We study heat transport in a class of stochastic energy exchange systems that characterize the interactions of networks of locally trapped hard spheres under the assumption that neighbouring particles undergo rare binary collisions. Our…
In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization…
Stochastic modeling has become a popular approach to quantify uncertainty in flows through heterogeneous porous media. The uncertainty in heterogeneous structure properties is often parameterized by a high-dimensional random variable. This…
A fully discrete approximation of the one-dimensional stochastic heat equation driven by multiplicative space-time white noise is presented. The standard finite difference approximation is used in space and a stochastic exponential method…
We consider a system of $d$ non-linear stochastic heat equations in spatial dimension $k \geq 1$, whose solution is an $\R^d$-valued random field $u= \{u(t\,,x),\, (t,x) \in \R_+ \times \R^k\}$. The $d$-dimensional driving noise is white in…
This paper provides a first contribution to port-Hamiltonian modeling of district heating networks. By introducing a model hierarchy of flow equations on the network, this work aims at a thermodynamically consistent port-Hamiltonian…
In this paper, we discuss the approximate controllability for control systems governed by stochastic evolution hemivariational inequalities in Hilbert spaces. The interest in studying this type of equation comes from its application in some…
Nonequilibrium molecular dynamics (NEMD) has been extensively used to study thermal transport at various length scales in many materials. In this method, two local thermostats at different temperatures are used to generate a nonequilibrium…
We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a random variable. In such a system, we study the small-and…
A new horizontally explicit/vertically implicit (HEVI) time splitting scheme for atmospheric modelling is introduced, for which the horizontal divergence terms are applied within the implicit vertical substep. The new HEVI scheme is…
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and…
Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able…
We present a method to compute the stochastic reachability safety probabilities for high-dimensional stochastic dynamical systems. Our approach takes advantage of a nonparametric learning technique known as conditional distribution…
In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula.…
Many frustrated spin models on three-dimensional (3D) lattices are currently being investigated, both experimentally and theoretically, and develop new types of long-range orders in their respective phase diagrams. They present…
We develop the general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price is represented in a semi-analytical form as a two-dimensional…
In this paper similar to [P. Carr, A. Itkin, 2019] we construct another Markovian approximation of the rough Heston-like volatility model - the ADO-Heston model. The characteristic function (CF) of the model is derived under both…
We consider the stochastic heat equation with multiplicative noise $u_t={1/2}\Delta u+ u \diamond \dot{W}$ in $\bR_{+} \times \bR^d$, where $\diamond$ denotes the Wick product, and the solution is interpreted in the mild sense. The noise…